{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,10,18]],"date-time":"2026-10-18T19:40:35Z","timestamp":1792352435265,"version":"4.4.0"},"posted":{"date-parts":[[2026]]},"group-title":"SSRN","reference-count":32,"publisher":"Elsevier BV","license":[{"start":{"date-parts":[[2026,1,1]],"date-time":"2026-01-01T00:00:00Z","timestamp":1767225600000},"content-version":"unspecified","delay-in-days":0,"URL":"https:\/\/www.uspto.gov\/ip-policy\/copyright-policy\/copyright-basics"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":[],"abstract":"<jats:p>Liquidity premia are measured from outside: through reversal portfolios an econometrician constructs, through price-impact coefficients, or through inventory effects inferred from quotes. This paper measures one from inside, on the live ledgers of a single provider of hours-horizon immediacy in six major currency pairs, 17,716 gap-absorption trades over twenty-six years and 11,455 dislocation absorptions over seven. The counterparty pushes a measured dislocation of 7.4 pips in the day before entry, and the provider retains 2.7 pips of it, roughly one third. The fee arrives through time decay and convexity, not direction, in every session. Critically, the fee reprices with ex-ante stress in the direction compensated immediacy requires: on 313 months the premium rises 2.44 pips per unit of lagged volatility (t = 4.2), top-decile stress months pay double the rest (t = 3.8). The loadings on carry, momentum, and the signed dollar factor are zero, and the effect decomposes into a per-unit-of-work channel and an ex-ante compensation channel that survives controlling for work. Seven years of intermediation evolution left the fee uncompressed. The paper contributes a provider-side measurement to a literature built on outside inference, and an economic identification for a research programme built on measurement.<\/jats:p>","DOI":"10.2139\/ssrn.7559960","type":"posted-content","created":{"date-parts":[[2026,10,5]],"date-time":"2026-10-05T19:17:47Z","timestamp":1791227867000},"source":"Crossref","is-referenced-by-count":0,"title":["Who Pays For Immediacy At The Hours Horizon? A Liquidity Premium Measured From The Provider&amp;#39;s Own Ledger"],"prefix":"10.2139","author":[{"ORCID":"https:\/\/orcid.org\/0009-0001-8020-9597","authenticated-orcid":true,"given":"Marijan","family":"Tolusic","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"78","reference":[{"key":"ref1","first-page":"1","article-title":"Anchoring and loss aversion in momentum portfolios: A backtesting study of the S&P","volume":"500","author":"M A Ali","year":"2000","journal-title":"Managerial Finance"},{"issue":"1","key":"ref2","doi-asserted-by":"crossref","first-page":"31","DOI":"10.1016\/S1386-4181(01)00024-6","article-title":"Illiquidity and stock returns: Cross-section and time-series effects","volume":"5","author":"Y Amihud","year":"2002","journal-title":"Journal of Financial Markets"},{"issue":"2","key":"ref3","doi-asserted-by":"crossref","first-page":"223","DOI":"10.1016\/0304-405X(86)90065-6","article-title":"Asset pricing and the 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