Resiliency: A dynamic view of liquidity

Resiliency: A dynamic view of liquidity
复制标题

弹性：流动性的动态观点

DOI：
--
复制
发表时间：
2015
期刊：
影响因子：
--
通讯作者：
P. Yadav
P. Yadav
中科院分区：
--
文献类型：
--
作者：
A. Kempf;D. Mayston;Monika Gehde;P. Yadav

文献摘要

被引文献

相似文献

本文研究弹性流动性提供一个动态的角度来看。我们将弹性定义为流动性的均值回归率。弹性随耐心交易者比例的增加而增加，随订单到达率的降低而降低，随最小报价单位的增加而增加，这为Foucault、卡丹和Kandel（2005）的模型提供了强有力的支持。当与信息有关的风险较低时，复原力也较强。股票交易与较高的弹性有关，但对于较小的股票和信息密集型时期则不那么重要。我们的价差和深度弹性的结果是相似的，并且相对于衡量流动性的订单深度是稳健的。
This paper investigates resiliency to provide a dynamic perspective on liquidity. We define resiliency as the rate of mean reversion in liquidity. Resiliency increases with the proportion of patient traders, decreases with order arrival rate, and increases with tick size; providing strong support for the Foucault, Kadan, and Kandel (2005) model. Resiliency is also greater when information-related risks are lower. Algorithmic trading is associated with higher resiliency, but less so for smaller stocks and in information-intensive periods. Our results for spread and depth resiliency are similar, and robust with respect to the order book depth at which liquidity is measured.