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execution risk, limit to arbitrage, liquidity, high-frequency trading strategies
execution risk, limit to arbitrage, liquidity, inventory costs
Arbitrage, Liquidity, Adverse Selection, High Frequency Trading
This is a CEPR Discussion Paper. CEPR charges a fee of $5.00 for this paper.
File name: DP9925.
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Adverse Selection, Arbitrage, High Frequency Trading, Liquidity
Actionable Indication of Interest (IOI); Flash orders; High-frequency Trading; Market quality; Market transparency; Sunshine trading.
Foreign Government Investments; Foreign Political Connections; Government-related Contracts; Internationalization; Large Shareholders
liquidity, forecasting, expected returns, economic valuation
Liquidity cycle, Liquidity externality, Two-sided markets, Make/take fees
Term structure, Interest rates, Multivariate modeling, Hawkes process, Time deformation.
Market liquidity, Bond risk premia, Flight-to-quality
Divided government, elections, expected returns, policy uncertainty, prediction markets
Liquidity, price discovery, volatility, trading volume, monitoring, neglected stocks, risk aversion, inventory, high frequency trading
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