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Published in 2021 at "Journal of Financial Markets"
DOI: 10.1016/j.finmar.2021.100621
Abstract: Abstract In modern public equity markets, liquidity is provided by a heterogeneous set of traders with vastly different speeds. We study the consequences of information arrival in such a setting. We present a model that…
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Keywords:
make quick;
liquidity provision;
fast traders;
traders make ... See more keywords