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Market liquidity—theory and empirical evidence
In this paper we survey the theoretical and empirical literatures on market liquidity. We
organize both literatures around three basic questions:(a) how to measure illiquidity,(b) how …
organize both literatures around three basic questions:(a) how to measure illiquidity,(b) how …
Theories of liquidity
We survey the theoretical literature on market liquidity. The literature traces illiquidity, ie, the
lack of liquidity, to underlying market imperfections. We consider six main imperfections …
lack of liquidity, to underlying market imperfections. We consider six main imperfections …
Algorithmic trading: Issues and preliminary evidence
T Foucault - Market Microstructure: Confronting Many …, 2012 - Wiley Online Library
In 1971, while the organization of trading on the NYSE had not changed much since its
creation in 1792, Fischer Black (1971) was asking whether trading could be automated and …
creation in 1792, Fischer Black (1971) was asking whether trading could be automated and …
[PDF][PDF] Charles A. Dice Center for Research in Financial Economics
F Franzoni, R Moussawi - 2011 - academia.edu
Recent literature suggests that trading by institutional investors may affect the first and
second moments of returns. Elaborating on this intuition, we conjecture that arbitrageurs can …
second moments of returns. Elaborating on this intuition, we conjecture that arbitrageurs can …