Foucault is from HEC, Paris; Kadan is from the Olin Business School at Washington University in St. Louis; and Kandel is from the Hebrew University. We are grateful to an anonymous referee, an anonymous Associate Editor, and to Campbell Harvey (the Editor) for very helpful comments and suggestions. We also thank Torben Andersen, Hank Bessembinder, Bruno Biais, Lawrence Glosten, Jeff Harris, Lawrence Harris, Pete Kyle, Terrence Hendershott, Olivier Ledoit, Ernst Maug, Albert Menkveld, Erwan Morellec, Marios Panayides, Sébastien Pouget, Michel Robe, Jean-Charles Rochet, Ioanid Rosu, Gideon Saar, Elu Von Thadden, and participants at the 2009 Western Finance Association Meeting, the 2009 European Finance Association Meeting, the NYSE-Euronext Amsterdam-Tinbergen Institute workshop on volatility and liquidity, the Fédération des Banques Françaises-Institut d'Economie Industrielle conference on investment banking and financial markets in Toulouse, the CREATES symposium on market microstructure, and the Warwick Business School conference on high frequency econometrics, as well as seminar participants at Boston University, University of Calgary, the U.S. Commodity Futures Trading Commission, Humboldt University, Ecole Polytechnique Fédérale de Lausanne, University of Mannheim, University of Toronto, and University College in Dublin for their useful comments. The usual disclaimer applies.
Liquidity Cycles and Make/Take Fees in Electronic Markets
Version of Record online: 11 JAN 2013
© 2013 the American Finance Association
The Journal of Finance
Volume 68, Issue 1, pages 299–341, February 2013
How to Cite
FOUCAULT, T., KADAN, O. and KANDEL, E. (2013), Liquidity Cycles and Make/Take Fees in Electronic Markets. The Journal of Finance, 68: 299–341. doi: 10.1111/j.1540-6261.2012.01801.x
- Issue online: 11 JAN 2013
- Version of Record online: 11 JAN 2013
- Accepted manuscript online: 27 DEC 2012 12:00AM EST
- Initial submission: November 4, 2009; Final version received: August 15, 2012
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