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...
|Authors and Corporations:||, , ,|
|Other Authors:||Panayi, Efstathios , Peters, Gareth , Zigrand, Jean-Pierre|
|Type of Resource:||E-Book|
[S.l.] SSRN