Traders' perceptions drive their market behavior, and can influence the dynamics of liquidity. This study surveyed 420 traders on their perceptions of the price path during an order imbalance to better understand the dynamics of liquidity. While most liquidity models assume a linear price path,...

In this paper we study futures market depth by examining the price path due to order imbalances thereby allowing us to directly gain insight in the execution costs due to a lack of market depth We propose a two dimensional market depth measure in which the price path due to order imbalances is...