In this paper, we investigate the role of proprietary algorithmic traders in facilitating liquidity in a limit order … with the theory that fast traders leave the market when stress situations arise, although their limit order supplying … behave opposite to proprietary algorithmic traders by reducing supply of liquidity during stress situations. We also document …

In this paper, we investigate the role of proprietary algorithmic traders in facilitating liquidity in a limit order … market. We find that they rarely use liquidity removing market orders. Their ability to affect the bid-ask spread with order … following a period of high short-term volatility. This is inconsistent with the theory that fast traders leave the market when …

We investigate the role of proprietary algorithmic traders (PAT) in facilitating liquidity in a limit order market … HFT mimics the behaviour of its parent class. This is inconsistent with the theory that fast traders leave the market when … reducing the supply of liquidity during stress situations. The presence of faster traders in the market possibly instils the …

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 …

We integrate a market microstructure model with an exchange competition model with entry in which exchanges supply … strategic substitutes or complements in platform competition. Free entry of platforms delivers a superior outcome in terms of … liquidity and (generally) welfare compared to the case of an unregulated monopoly. Controlling entry or, even better, platform …

Competition for order flow is widely documented for U.S. markets, but is a relatively new phenomenon in European … positive liquidity implications of a new trading venue. To this end, we examine the impact of the Chi-X market entry in French … blue-chip equities on the liquidity of their home market. Our findings suggest that in consequence of the new competitor …

, integrating a microstructure model with a free-entry, exchange competition model where exchanges have market power in … technological services. We find that services can be strategic substitutes or complements. Free-entry delivers superior liquidity …

The rise of computerized trading strategies in equity markets has spurred competition between trading venues. This … cancellations of limit orders on competing venues. These cancellations are explained in a simple model of competition between two … limit order markets with fast and slow traders. Only the fast traders can access the liquidity of both venues simultaneously …