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ArticleThe Term Structure of Liquidity Provision

JENNIFER S. CONRAD2016

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Articlegreen2016

The Term Structure of Liquidity Provision

JENNIFER S. CONRAD · Sunil Wahal

75 citations·0/0 files stored·Journal of Financial Economics

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Financial Markets and Investment Strategies Stochastic processes and financial applications Financial Risk and Volatility Modeling

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References

1985Bid, ask and transaction prices in a specialist market with heterogeneously informed traders 1980On the Impossibility of Informationally Efficient Markets 2008Market Liquidity and Funding Liquidity 1980On the Impossibility of Informationally Efficient Markets 2008Liquidity and leverage 1988Estimating the components of the bid/ask spread 1978THE SUPPLY OF DEALER SERVICES IN SECURITIES MARKETS 1981Optimal dealer pricing under transactions and return uncertainty

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Year2016

Typearticle

Published2016-01-01

VenueJournal of Financial Economics

ISSN-L0304-405X

Languageen

Citations75

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1016/j.jfineco.2019.09.008

openalex_workW3122536635

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2020Quantifying the High-Frequency Trading “Arms Race”: A Simple New Methodology and Estimates