Liquidity shocks and order book dynamics
By: Bruno Biais, Pierre-Olivier Weill.
Contributors: Weill, Pierre-Olivier.; National Bureau of Economic Research.
Series: NBER working paper series -- working paper 15009; Working paper series (National Bureau of Economic Research : Online) -- working paper no. 15009.
Publisher: National Bureau of Economic Research
Published: 2009
Place of publication: Cambridge, MA
Language: eng
Format: Electronic resource
Description: "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"--National Bureau of Economic Research web site.
Notes: Title from PDF file as viewed on 6/16/2009.

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