Liquidity drops

Giacomo Morelli ()
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Giacomo Morelli: LUISS University

Annals of Operations Research, 2021, vol. 299, issue 1, No 29, 719 pages

Abstract: Abstract This papers examines the connection between the trading market and liquidity in a simple model with informed and uninformed traders. When agents in the market have plenty of information, assets are traded frequently. However, when news arrives the informed trader behaves as predator making profit from that news, this in turn leading to sudden drops in liquidity which I refer to as liquidity drops.

Keywords: Predatory trading; Liquidity risk; Financial regulation; C02; G21; G28 (search for similar items in EconPapers)
Date: 2021
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DOI: 10.1007/s10479-019-03285-0

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