Resiliency of the limit order book

被引：17

作者：

Lo, Danny K. ^{[1
]}

Hall, Anthony D. ^{[1
]}

机构：

[1] Univ Technol Sydney, Finance Discipline Grp, UTS Business Sch, Broadway, NSW 2007, Australia

来源：

JOURNAL OF ECONOMIC DYNAMICS & CONTROL | 2015年 / 61卷

关键词：

Resiliency; Liquidity; Limit order book; Liquidity shocks; INFORMATION-CONTENT; MARKET; TIME; SECURITY; IMPACT; MODEL;

D O I：

10.1016/j.jedc.2015.09.012

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This study contributes to our understanding of the liquidity replenishment process in limit order book markets. A measure of resiliency is proposed and quantified for different liquidity shocks through the impulse response functions generated from a high frequency vector autoregression. The model reveals a rich set of liquidity dynamics. Liquidity shocks were found to have immediate detrimental effects on other dimensions of liquidity but the replenishment process generally occurs quickly, indicating limit order books are resilient Cross-sectionally, resiliency is found to be consistently high across all large stocks, consistent with competition for liquidity provision coming from computerized algorithms. For other stocks, greater variation in resiliency is observed, indicating more selective participation by these liquidity providers. (C) 2015 Elsevier B.V. All rights reserved.

引用

页码：222 / 244

页数：23

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