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Liquidity shocks and order book dynamics

Author

Listed:
  • Pierre-Olivier Weill

    (UCLA)

  • Bruno Biais

    (TSE)

Abstract

when investors’ ability to monitor the market improves, the ratio of messages (order submission and cancelations) to volume increases, consistent with recent evidence on the impact of computerization and algorithmic trading.

Suggested Citation

  • Pierre-Olivier Weill & Bruno Biais, 2009. "Liquidity shocks and order book dynamics," 2009 Meeting Papers 89, Society for Economic Dynamics.
    • Handle: RePEc:red:sed009:89
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    Cited by:

    1. Zhiguo He & Konstantin Milbradt, 2014. "Endogenous Liquidity and Defaultable Bonds," Econometrica, Econometric Society, vol. 82(4), pages 1443-1508, July.
    2. Helder Rojas & Artem Logachov & Anatoly Yambartsev, 2023. "Order Book Dynamics with Liquidity Fluctuations: Asymptotic Analysis of Highly Competitive Regime," Mathematics, MDPI, vol. 11(20), pages 1-24, October.
    3. Dugast, J., 2013. "Limited attention and news arrival in limit order markets," Working papers 449, Banque de France.
    4. Moriyasu, Hiroshi & Wee, Marvin & Yu, Jing, 2018. "The role of algorithmic trading in stock liquidity and commonality in electronic limit order markets," Pacific-Basin Finance Journal, Elsevier, vol. 49(C), pages 103-128.
    5. Samuel N. Cohen & Lukasz Szpruch, 2011. "A limit order book model for latency arbitrage," Papers 1110.4811, arXiv.org.
    6. Helder Rojas & Artem Logachov & Anatoly Yambartsev, 2020. "Order book dynamics with liquidity fluctuations: limit theorems and large deviations," Papers 2004.10632, arXiv.org, revised Jan 2021.
    7. Jakša Cvitanić & Charles Plott & Chien-Yao Tseng, 2015. "Markets with random lifetimes and private values: mean reversion and option to trade," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 38(1), pages 1-19, April.
    8. Branch, William A., 2016. "Imperfect knowledge, liquidity and bubbles," Journal of Economic Dynamics and Control, Elsevier, vol. 62(C), pages 17-42.
    9. Pierre-Olivier Weill, 2020. "The search theory of OTC markets," NBER Working Papers 27354, National Bureau of Economic Research, Inc.
    10. Tian, Xiao & Duong, Huu Nhan & Kalev, Petko S., 2019. "Information content of the limit order book for crude oil futures price volatility," Energy Economics, Elsevier, vol. 81(C), pages 584-597.
    11. Pierre-Olivier Weill & Bruno Biais, 2009. "Liquidity shocks and order book dynamics," 2009 Meeting Papers 89, Society for Economic Dynamics.
    12. Nikolsko-Rzhevska, Olena & Nikolsko-Rzhevskyy, Alex & Black, Jeffrey R., 2020. "The life of U’s: Order revisions on NASDAQ," Journal of Banking & Finance, Elsevier, vol. 111(C).
    13. Guillaume Rocheteau & Pierre-Olivier Weill, 2011. "Liquidity in Frictional Asset Markets," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 43, pages 261-282, October.
    14. Cécile Bastidon, 2017. "Stock markets fragmentation, volatility and final investors," Annals of Finance, Springer, vol. 13(4), pages 435-451, November.

    More about this item

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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