... Chordia and Subrahmanyam (1995) for a simple model of how spread levels depend on inventory.13The direction of market movements could also trigger asymmetric e®ects on liquidity. However, the market ... market return and the Lehman aggregate bond indexreturn are signi¯cantly positively correlated with order °ow. We have run our forecasting regressionswith and without the market variables and ... for example, Greenspan, 1999, and \Finance and Economics: Alan Greenspan's miracle cure,"Economist, October 24, 1998, pp.75-76. and \A Review of Financial Market Events in Autumn 1998,"CGFS...