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This paper has previously been circulated under the title, \u201cPricing Liquidity: The Quantity Structure of Immediacy Prices.\u201d We thank John Campbell, Joshua Coval, Will Goetzmann, Robin Greenwood, Bob Merton, Andre\u0301 Perold, David Scharfstein, Anna Scherbina, Halla Yang, and seminar participants at Harvard Business School, INSEAD, MIT, The Bank of Italy, and State Street Bank. We are especially grateful to an anonymous referee whose comments substantially improved the paper","Harvard Business School"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Chacko is with 6S Capital AG, Santa Clara University, and Trinsum Group Inc.; Jurek is with Harvard University and Harvard Business School, and Stafford is with Harvard Business School. This paper has previously been circulated under the title, \u201cPricing Liquidity: The Quantity Structure of Immediacy Prices.\u201d We thank John Campbell, Joshua Coval, Will Goetzmann, Robin Greenwood, Bob Merton, Andre\u0301 Perold, David Scharfstein, Anna Scherbina, Halla Yang, and seminar participants at Harvard Business School, INSEAD, MIT, The Bank of Italy, and State Street Bank. 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