We would like to thank Damiano Brigo (Imperial College), Patrick Gagliardini (USI & Swiss Finance Institute), Eric Renault (Brown University), Lasse Heje Pedersen (Copenhagen Business School, NYU, CEPR, AQR Capital Management), Thierry Foucault (HEC Paris) and Marco Pagano (University of Naples Federico II), all the participants of the SoFiE Spring School 2015, CEMS PhD Course on Market Liquidity and PhD Course in Quantitative Finance, as well as the staff of the National Bank of Belgium.