We study liquidity provision by competitive high-frequency trading firms (HFTs) in a dynamic trading model with private … information. Liquidity providers face adverse selection risk from trading with privately informed investors and from trading with … liquidity providers to charge markups and earn profits - even under risk neutrality and perfect competition. A slight variation …

for infrequently traded stocks, a negative effect on liquidity of slightly more active stocks, and increasing benefits for … liquidity of large and actively traded stocks. Consequently, being traded on multiple venues is not necessarily harmful for SME …

-building. We focus on the IPO initial underpricing, long-run performance and after market liquidity problems. 1. We propose that …-determinant for the successful IPO deal completion. We propose the Ledenyov theory on the origins of the IPO underpricing and long …

order book, autocorrelation in returns on the smallest time scales only, volatility clustering and the timing of large … observed patterns. Also, we find limit order books to be relatively shallow and liquidity costs to be relatively high when …

order book, autocorrelation in returns on the smallest time scales only, volatility clustering and the timing of large … observed patterns. Also, we find limit order books to be relatively shallow and liquidity costs to be relatively high when …

crashes. They actually consume liquidity when it is most needed, even if they are rewarded by the exchange to provide … crash. In their place, slow traders provide liquidity, taking advantage of the discounted price. We thus uncover a trade …-off between the greater liquidity and efficiency provided by designated market makers in normal times, and the disruptive …

security is added, the liquidity of the non-market asset is still a decreasing function of volatility and an increasing …Garbade and Silber (1979) demonstrate that an asset will be liquid if it has (1) low price volatility and (2) a large … number of public investors who trade it. Although these results match nicely with common notions of liquidity, one key …

level of market uncertainty and the degree of algorithmic versus human trading. Our results show that liquidity increases … initially as AT rises to about 10% share of the market; beyond this point, liquidity increases only marginally. Statistical …