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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: | 02 Apr 2021 15:36 |
| OAI Identifier: | oai:tse-fr.eu:21944 |
| URI: | https://publications.ut-capitole.fr/id/eprint/3230 |
