Why Liquidity Vanishes in a Crash: Margin and Loss Spirals
Brunnermeier and Pedersen’s model explains why liquidity can vanish suddenly: falling liquidity raises margins, and higher margins cut liquidity.
#market-microstructure
2 articles
Why Crypto Arbitrage Gaps Persist
Price gaps between crypto exchanges are real but rarely free money. What the Journal of Financial Economics found and the costs that keep spreads open.