Resiliency of the limit order book

DOI10.1016/j.jedc.2015.09.012zbMath1401.91591OpenAlexW1910594934MaRDI QIDQ1657443

Danny K. Lo, Anthony D. Hall

Publication date: 13 August 2018

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2015.09.012

zbMATH Keywords

liquidityresiliencylimit order bookliquidity shocks

Mathematics Subject Classification ID

Financial applications of other theories (91G80)

Related Items

Optimal execution with regime-switching market resilience ⋮ DISCRETE-TIME OPTIMAL EXECUTION UNDER A GENERALIZED PRICE IMPACT MODEL WITH MARKOVIAN EXOGENOUS ORDERS

Cites Work

• Likelihood Inference for a Fractionally Cointegrated Vector Autoregressive Model
• The market impact of a limit order
• Aggressive Orders and the Resiliency of a Limit Order Market*
• Continuous Auctions and Insider Trading
• Optimal execution strategies in limit order books with general shape functions
• Hide-and-Seek in the Market: Placing and Detecting Hidden Orders*