affect the aggressiveness of 'dark' liquidity supply and thus the 'hidden spread'. Our evidence suggests that traders balance … hidden order placements to (i) compete for the provision of (hidden) liquidity and (ii) protect themselves against adverse … show that hidden liquidity locations are predictable given the observable state of the market …

affect the aggressiveness of 'dark' liquidity supply and thus the 'hidden spread'. Our evidence suggests that traders balance … hidden order placements to (i) compete for the provision of (hidden) liquidity and (ii) protect themselves against adverse … show that hidden liquidity locations are predictable given the observable state of the market. -- Limit Order Market …

previous volatility, scarce liquidity, high quantity exchanged, and stop-loss (SL) orders (seldom mentioned in the literature … volatility, liquidity, and SL orders as the main causes of excess volatility. However, contrary to mainstream literature on …

We study the fragility of discretionary liquidity provision by major financial intermediaries during systemic events … discretionary liquidity provision greatly affected both net investor demand and auction clearing rates. Importantly, such … discretionary liquidity provision is fragile. As auction dealers suffered losses from other financial markets and faced increasing …

We study the fragility of discretionary liquidity provision by major financial intermediaries during systemic events … discretionary liquidity provision greatly affected both net investor demand and auction clearing rates. Importantly, such … discretionary liquidity provision is fragile. As auction dealers suffered losses from other financial markets and faced increasing …

We develop a model of an order-driven exchange competing for order flow with off-exchange trading mechanisms. Liquidity … additional trade demand. We show, in equilibrium, hiding trade intentions can induce mis-coordination between liquidity supply … in prices and order flow after periods of high excess-supply of hidden liquidity. …