Displayed liquidity at lit exchanges within 1-2% of last price has declined since decimalization and maker-taker. This is partially due to HFT scalpers, which use market fragmentation to generate signals of larger orders (and is why so much institutional trading is dark). This enables "demand driven shocks" to price. In retail-trader terms, this creates those breakout patterns that revert to the trend.
Fundamentally, supply and demand determine the price of a security. Also note that spread rises when liquidity thins out.