of algorithmic trading on stock market liquidity and commonality in liquidity under different market conditions on the … Tokyo Stock Exchange. After controlling for endogeneity, we find algorithmic trading increases stock liquidity by narrowing … spreads and increasing market depth. Furthermore, algorithmic trading increases commonality in liquidity at both high and low …

of algorithmic trading on stock market liquidity and commonality in liquidity under different market conditions on the … Tokyo Stock Exchange. After controlling for endogeneity, we find algorithmic trading increases stock liquidity by narrowing … spreads and increasing market depth. Furthermore, algorithmic trading increases commonality in liquidity at both high and low …

messages on intraday price discovery, liquidity, and trading intensity in an electronic limit order market. We take an …. Negative messages are associated with higher adverse selection costs than positive or neutral messages. Liquidity increases …

migrate to dark pools, the probability of subsequent order execution there increases, raising liquidity. The ability to …

order books. We show that these order book commonalities are much stronger than liquidity commonality across stocks. The …

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. …

Based on a structural model we analyze adverse selection costs and liquidity supply in a pure open limit order book … capitalized stocks, and find empirical support for one of the main hypothesis put forth by the theory of limit order book markets …, which states that liquidity supply and adverse selection costs are inversely related. We also show that adverse selection …

of fragmentation on liquidity and welfare di↵ers with asset volatility: when volatility is high (low), liquidity and … competition among liquidity suppliers and lower picking-o↵ risk of limit orders. Due to these countervailing channels, the impact …'s predictions about liquidity. Our model reconciles the mixed results in the empirical literature. …

complexities, e.g., fragmentation due to multiple venues, dynamics of limit order books, lit vs. dark liquidity, different trading …