Resiliency of the limit order book

Lo, DK; Hall, AD

Resiliency of the limit order book

Lo, DK Hall, AD

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Publication Type:: Journal Article
Citation:: Journal of Economic Dynamics and Control, 2015, 61 pp. 222 - 244
Issue Date:: 2015-01-01

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Field	Value	Language
dc.contributor.author	Lo, DK	en_US
dc.contributor.author	Hall, AD https://orcid.org/0000-0002-9724-951X	en_US
dc.date.available	2020-05-25T19:22:10Z
dc.date.issued	2015-01-01	en_US
dc.identifier.citation	Journal of Economic Dynamics and Control, 2015, 61 pp. 222 - 244	en_US
dc.identifier.issn	0165-1889	en_US
dc.identifier.uri	http://hdl.handle.net/10453/98964
dc.description.abstract	© 2015 Elsevier B.V. This study contributes to our understanding of the liquidity replenishment process in limit order book markets. A measure of resiliency is proposed and quantified for different liquidity shocks through the impulse response functions generated from a high frequency vector autoregression. The model reveals a rich set of liquidity dynamics. Liquidity shocks were found to have immediate detrimental effects on other dimensions of liquidity but the replenishment process generally occurs quickly, indicating limit order books are resilient. Cross-sectionally, resiliency is found to be consistently high across all large stocks, consistent with competition for liquidity provision coming from computerized algorithms. For other stocks, greater variation in resiliency is observed, indicating more selective participation by these liquidity providers.	en_US
dc.relation.ispartof	Journal of Economic Dynamics and Control	en_US
dc.relation.isbasedon	10.1016/j.jedc.2015.09.012	en_US
dc.subject.classification	Economics	en_US
dc.title	Resiliency of the limit order book	en_US
dc.type	Journal Article
utslib.citation.volume	61	en_US
utslib.for	1502 Banking, Finance and Investment	en_US
utslib.for	1402 Applied Economics	en_US
utslib.for	1401 Economic Theory	en_US
pubs.embargo.period	Not known	en_US
pubs.organisational-group	/University of Technology Sydney
pubs.organisational-group	/University of Technology Sydney/Faculty of Business
pubs.organisational-group	/University of Technology Sydney/Faculty of Business/Finance Discipline
utslib.copyright.status	open_access
pubs.publication-status	Published	en_US
pubs.volume	61	en_US

Abstract:

© 2015 Elsevier B.V. This study contributes to our understanding of the liquidity replenishment process in limit order book markets. A measure of resiliency is proposed and quantified for different liquidity shocks through the impulse response functions generated from a high frequency vector autoregression. The model reveals a rich set of liquidity dynamics. Liquidity shocks were found to have immediate detrimental effects on other dimensions of liquidity but the replenishment process generally occurs quickly, indicating limit order books are resilient. Cross-sectionally, resiliency is found to be consistently high across all large stocks, consistent with competition for liquidity provision coming from computerized algorithms. For other stocks, greater variation in resiliency is observed, indicating more selective participation by these liquidity providers.

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http://hdl.handle.net/10453/98964