SSRN-The Liquidity of Liquid Markets During the Financial Crisis by Craig Furfine

SSRN-The Liquidity of Liquid Markets During the Financial Crisis by Craig Furfine: "We measure changes to trading volumes, spreads, the level and shape of order books, and the price impact of a trade and document that these traditional measures imply a noticeable withdrawal of liquidity from Eurodollar futures markets, which previously could have been argued to be one of the most liquid financial