Liquidity and Market Structure
建立模型，将市场流动性视为即时性需求和供给共同决定的结果。外生流动性事件和延迟交易风险产生即时性需求，做市商通过持续在场并承担风险来供给即时性。长期中做市商数量调整使供需平衡，决定市场均衡流动性水平。收益率自相关越低，均衡流动性越高。
ABSTRACT 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.