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Market Resilience

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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 [Other] • Peters, Gareth [Other] • Zigrand, Jean-Pierre [Other]
Type of Resource: E-Book
Language: English
[S.l.] SSRN [2018]
Source: Verbunddaten SWB
Lizenzfreie Online-Ressourcen
Summary: 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 regression framework for the duration of ‘droughts' in terms of observable state variables reflecting the shape and evolution of the limit order book using Chi-X data. Finally, we introduce a method to summarise exceedance duration information across different thresholds, called Liquidity Resilience Profile, which enables the comparison and the ranking of liquidity resilience
Item Description: Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments April 27, 2018 erstellt
Physical Description: 1 Online-Ressource (51 p)
DOI: 10.2139/ssrn.3169755
Access: Open Access