We analyze the dynamics of liquidity in Xetra, an electronic open limit order book. We use the Exchange Liquidity … dimension of liquidity. We present descriptive statistics, analyze the cross-sectional determinants of the XLM measure and … document its intraday pattern. Our main contribution is an analysis of the dynamics of the XLM measure around liquidity shocks …

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 …

best prices, as well as resiliency, i.e. how fast the different liquidity measures recover after a liquidity shock. Our …This paper analyzes liquidity in an order driven market. We only investigate the best limits in the limit order book … liquidity. We develop and estimate several econometric models, based on depth and prices in the book, as well as on the slopes …

best prices, as well as resiliency, i.e. how fast the different liquidity measures recover after a liquidity shock. Our …This paper analyzes liquidity in an order driven market. We only investigate the best limits in the limit order book … liquidity. We develop and estimate several econometric models, based on depth and prices in the book, as well as on the slopes …

of global equity limit order markets. Taking market resiliency as an indicator of market quality, we investigate how … that when liquidity becomes scarce Chi-X is a less resilient venue than LSE with variations existing across stocks and time …. In comparison with LSE, Chi-X has more, longer, and severer liquidity shocks. Whereas the vast majority of liquidity …

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 …

costs curves and we find empirical evidences about the "pegging to the current mid-quote" behavior of the liquidity …

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 …

of global equity limit order markets. Taking market resiliency as an indicator of market quality, we investigate how … that when liquidity becomes scarce Chi-X is a less resilient venue than LSE with variations existing across stocks and time …. In comparison with LSE, Chi-X has more, longer, and severer liquidity shocks. Whereas the vast majority of liquidity …

order books. We show that these order book commonalities are much stronger than liquidity commonality across stocks. The …