{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,4,15]],"date-time":"2026-04-15T18:37:45Z","timestamp":1776278265571,"version":"3.50.1"},"reference-count":54,"publisher":"Institute for Operations Research and the Management Sciences (INFORMS)","issue":"11","content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Management Science"],"published-print":{"date-parts":[[2025,11]]},"abstract":"<jats:p>We test competing theories of liquidity dynamics during extreme volatility spikes (EVSs). We find that liquidity providers strategically allow for price pressures and are compensated from correcting pricing errors. As a result, liquidity provision intensifies toward the end of a typical EVS. This goes counter to a widespread concern that market-making constraints cause liquidity to deteriorate as EVSs develop. The prevailing limit order book dynamics during EVSs are in line with the socially beneficial equilibrium presented in the theoretical literature.<\/jats:p>\n                  <jats:p>This paper was accepted by Agostino Capponi, finance.<\/jats:p>\n                  <jats:p>Supplemental Material: The data files are available at https:\/\/doi.org\/10.1287\/mnsc.2022.04104 .<\/jats:p>","DOI":"10.1287\/mnsc.2022.04104","type":"journal-article","created":{"date-parts":[[2025,3,3]],"date-time":"2025-03-03T12:03:41Z","timestamp":1741003421000},"page":"9071-9103","source":"Crossref","is-referenced-by-count":1,"title":["Strategic Liquidity Provision and Extreme Volatility Spikes"],"prefix":"10.1287","volume":"71","author":[{"ORCID":"https:\/\/orcid.org\/0000-0001-5612-289X","authenticated-orcid":false,"given":"Jonathan","family":"Brogaard","sequence":"first","affiliation":[{"name":"David Eccles School of Business, University of Utah, Salt Lake City, Utah 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