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Liquidity Shocks and Order Book Dynamics / Bruno Biais, Pierre-Olivier Weill.
- Format:
- Book
- Author/Creator:
- Biais, Bruno.
- Series:
- Working Paper Series (National Bureau of Economic Research) no. w15009.
- NBER working paper series no. w15009
- Language:
- English
- Physical Description:
- 1 online resource: illustrations (black and white);
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 2009.
- Summary:
- 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.
- Notes:
- Print version record
- May 2009.
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