, higher price impact and increased volatility. In particular, as large hidden orders fail to attract (latent) liquidity to the … Transparency ; Iceberg Orders ; Informed Trading ; Market Impact ; Market Quality ; Liquidity Externalities ; Upstairs Markets … and posted liquidity. Our findings moreover suggest that large hidden orders are associated with larger transaction costs …

Algorithmic trading has sharply increased over the past decade. Equity market liquidity has improved as well. Are the … the associations between liquidity and message traffic. Based on within-stock variation, we find that algorithmic trading … and liquidity are positively related. To sort out causality, we use the start of autoquoting on the NYSE as an exogenous …

predicted by theory, such orders are more common when price volatility is higher. -- Microstructure ; Treasury market ; bid …-, ten-, and thirty-year Treasury securities, we find that market liquidity is greater than that found in earlier studies …

, higher price impact and increased volatility. In particular, as large hidden orders fail to attract (latent) liquidity to the … and posted liquidity. Our findings moreover suggest that large hidden orders are associated with larger transaction costs … market, hidden liquidity provision gives rise to negative liquidity externalities. …

Dealers, who strategically supply liquidity to traders, are subject to both liquidity and adverse selection costs …. While liquidity costs can be mitigated through inter-dealer trading, individual dealers' private motives to acquire … information compromise inter-dealer market liquidity. Post-trade information disclosure can improve market liquidity by …

are lower. However, the cost dimension of liquidity is significantly more beneficial for investors with higher price … level of pre-trade transparency, which indicates the high relevance of this subject …