A realistic model of market liquidity an
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Vassilis Polimenis
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Article
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2005
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John Wiley and Sons
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English
β 146 KB
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