| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w15009 |
| 来源ID | Working Paper 15009 |
| Liquidity Shocks and Order Book Dynamics | |
| Bruno Biais; Pierre-Olivier Weill | |
| 发表日期 | 2009-05-28 |
| 出版年 | 2009 |
| 语种 | 英语 |
| 摘要 | 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. |
| 主题 | Financial Economics ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w15009 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/572685 |
| 推荐引用方式 GB/T 7714 | Bruno Biais,Pierre-Olivier Weill. Liquidity Shocks and Order Book Dynamics. 2009. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w15009.pdf（401KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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