𝔖 Bobbio Scriptorium
✦   LIBER   ✦

A model of liquidity overhang

✍ Scribed by Richard H. Clarida


Book ID
115875149
Publisher
Elsevier Science
Year
1993
Tongue
English
Weight
739 KB
Volume
37
Category
Article
ISSN
0014-2921

No coin nor oath required. For personal study only.


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A model that realistically defines market liquidity and depth is introduced. Liquidity is the expected rate of order execution in shares per minute. Depth is the average density of the limit order book in shares per dollar. Illiquid markets tend to exhibit longer execution delays and indirectly high