Liquidity Shocks and Order Book Dynamics

Biais, Bruno and Weill, Pierre-Olivier (2009) Liquidity Shocks and Order Book Dynamics. TSE Working Paper, n. 09-037

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Official URL: http://tse-fr.eu/pub/21944

Abstract

We propose a dynamic competitive equilibrium model of limit order trading, based on the premise that investors cannot monitor markets continuously. We study how limit order markets absorb transient liquidity shocks, which occur when a significant fraction of investors lose their willingness and ability to hold assets. We characterize the equilibrium dynamics of market prices, bid-ask spreads, order submissions and cancelations, as well as the volume and limit order book depth they generate.

Item Type: Monograph (Working Paper)
Language: English
Date: May 2009
Subjects: B- ECONOMIE ET FINANCE
Divisions: TSM Research (Toulouse), TSE-R (Toulouse)
Site: UT1
Date Deposited: 18 Jan 2012 06:00
Last Modified: 07 Mar 2018 13:22
OAI ID: oai:tse-fr.eu:21944
URI: http://publications.ut-capitole.fr/id/eprint/3230

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