Liquidity shocks and order book dynamics

Liquidity shocks and order book dynamics

by B. Biais

Book 15009 of NBER working paper series -- working paper

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"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.

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