An Analysis Of The Supply Curve For Liquidity Risk Through Book Data
We use order book data combined with tick data to analyze the supply curve models of liquidity issues in stock and option market trading. We show that supply curves really exist, and further that for highly liquid stocks they are linear. For slightly less liquid stocks the supply curve tends to be jump linear.
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Volume (Year): 13 (2010)
Issue (Month): 06 ()
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