Liquidity shocks and order book dynamics
by B. Biais
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"We propose a dynamic competitive equilibrium model of limit order trading, based on the premise that investors cannot monitor markets continuously. We study how limit order markets absorb transient liquidity shocks, which occur when a significant fraction of investors lose their willingness and ability to hold assets. We characterize the equilibrium dynamics of market prices, bid-ask spreads, order submissions and cancelations, as well as the volume and limit order book depth they generate"--National Bureau of Economic Research web site.
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Liquidity shocks and order book dynamics
2009, National Bureau of Economic Research
Electronic resource
in English
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Title from PDF file as viewed on 6/16/2009.
Includes bibliographical references.
Also available in print.
System requirements: Adobe Acrobat Reader.
Mode of access: World Wide Web.
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| October 29, 2020 | Edited by MARC Bot | import existing book |
| December 8, 2009 | Created by ImportBot | add works page |