September 27, 2019
Share on
We are excited to share the latest report on our Market Lens series. This analysis examines the impact that market structure evolution has had on stock market liquidity over the past eight years, as well as the relationship between liquidity and the recent return of volatility.
While some market observers have blamed recent periods of volatility on market structure changes resulting in thinner liquidity conditions, our findings show that stock market liquidity has actually been remarkably stable. Our analysis of approximately 100 terabytes of exchange feed data from over the past eight years also yielded important insights into the structural relationships between spreads, liquidity and share price and how they evolve over time.
We hope that this report helps dispel some of the common misperceptions about liquidity and sparks further discussion about the true causes of volatility in equities and other asset classes.
Click here to check out the full report.
Market Lens: Disclosure of Order Execution Information Proposal
Market Lens: Tick Size Proposal
Market Lens: Best Execution Proposal
Market Lens: Order Competition Proposal
Market Lens: Equity Market Structure Proposals
Global Exchange Leaders: Edward Tilly, Chairman & CEO of Cboe
How can our support as DMM improve ETF trading on the NYSE floor?
How can we make foreign exchange markets fairer and more transparent?
How is Citadel Securities improving the global fixed income market?
Market Lens: Unlevel Playing Field? What 605s Can Tell Us About Tick Sizes
What does the future hold for the foreign exchange market?
How does Citadel Securities compete and innovate?
Citadel Securities 2023 PhD Summit
CEO Peng Zhao Profiled in Bloomberg Businessweek: ‘Ken Griffin’s Hand-Picked Math Prodigy Runs Market-Making Empire’
Ken Griffin on Campus
Dr. Lisa Su, Chair & CEO of AMD, on Building a High-Performance Culture
I Interned at Google, Meta and Citadel Securities. I Chose Citadel Securities.
