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December 8, 2009 | History

Liquidity shocks and order book dynamics 1 edition

Liquidity shocks and order book dynamics
B. Biais

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Liquidity shocks and order book dynamics
Bruno Biais, Pierre-Olivier Weill.

Published 2009 by National Bureau of Economic Research in Cambridge, MA .
Written in English.

About the Book

"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.

Edition Notes

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.

Series
NBER working paper series -- working paper 15009, Working paper series (National Bureau of Economic Research : Online) -- working paper no. 15009.

Classifications

Library of Congress
HB1

The Physical Object

Format
Electronic resource

ID Numbers

Open Library
OL23683725M
LC Control Number
2009656005

History

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