Liquidity shocks and order book dynamics

Pierre-Olivier Weill and Bruno Biais

No 89, 2009 Meeting Papers from Society for Economic Dynamics

Abstract: when investors’ ability to monitor the market improves, the ratio of messages (order submission and cancelations) to volume increases, consistent with recent evidence on the impact of computerization and algorithmic trading.

Date: 2009
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Related works:
Working Paper: Liquidity Shocks and Order Book Dynamics (2009)
Working Paper: Liquidity Shocks and Order Book Dynamics (2009)
Working Paper: Liquidity Shocks and Order Book Dynamics (2009)
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