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Market Resilience

We propose a method to capture the notion of resilience, the dynamic aspect of liquidity in the limit order book, through the Threshold Exceedance Duration (TED) metric that we introduce. This measures the duration of liquidity 'droughts.' We illustrate the explanatory power of a survival...

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Bibliographic Details
Authors and Corporations: Danielsson, Jon (Author), Panayi, Efstathios (Other), Peters, Gareth (Other), Zigrand, Jean-Pierre (Other)
Other Authors: Panayi, Efstathios , Peters, Gareth , Zigrand, Jean-Pierre
Type of Resource: E-Book
Language: English
published:
[S.l.] SSRN [2018]
Source: Verbunddaten SWB
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