Liquidity and Market Structure
构建模型，将市场流动性视为即时性供需决定的结果，分析做市商如何通过持续存在和承担风险来提供流动性，并探讨长期均衡流动性水平与收益率自相关的关系。
Market liquidity is modeled as being determined by the demand and supply of immediacy. Exogenous liquidity events coupled with the risk of delayed trade create a demand for immediacy. Market makers supply immediacy by their continuous presence and willingness to bear risk during the time period between the arrival of final buyers and sellers. In the long run the number of market makers adjusts to equate the supply and demand for immediacy. This determines the equilibrium level of liquidity in the market. The lower is the autocorrelation in rates of return, the higher is the equilibrium level of liquidity.