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 …

the bid-ask spread and we also provide evidence of how HF traders may profit from liquidity incentives (liquidity rebates … price impact as measured by the volatility of price innovations …

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 …, financial markets face many ultrafast orders, yet a coherent theory of price change at time scales incomprehensible by humans …

We present comprehensive evidence in support of giving liquidity equal standing to size, value/growth, and momentum as … investment styles, as defined by Sharpe (1992). First, we show that financial market liquidity, as identified by stock turnover …, is an economically significant indicator of long-term returns. Then, we show that liquidity, as a characteristic, is not …