Liquidity and Market Structure

Sanford J. Grossman, Merton H. Miller · 1988 · The Journal of Finance

BeginnerAny horizonTheory

Liquidity is the price of immediacy: market makers are paid for bridging the gap between the arrivals of buyers and sellers.

Read the paper ↗

At a glance

Level: Beginner: No prior microstructure or stochastic calculus needed
Horizon: Any horizon
Data needed: None to read it; no dataset required Set what data you have
Themes: Market making Microstructure
Assets: Equities
Market: Global

Your notes

Report a problem with this entry

Step 1 of 7 in

Market making, from dealers to HFT

Optimal dealer pricing under transactions and return uncertainty →

Cite

@article{grossman1988liquidity,
  author = {Grossman, Sanford J. and Miller, Merton H.},
  title = {{Liquidity and Market Structure}},
  journal = {The Journal of Finance},
  year = {1988},
  doi = {10.1111/j.1540-6261.1988.tb04594.x}
}

Grossman, S. J., & Miller, M. H. (1988). Liquidity and Market Structure. The Journal of Finance. https://doi.org/10.1111/j.1540-6261.1988.tb04594.x