Measuring the resiliency of an electroni
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Jeremy Large
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Article
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2007
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Elsevier Science
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English
β 348 KB
An electronic limit order book is resilient when it reverts to its normal shape promptly after large trades. This paper suggests a continuous-time impulse response function based on intensities, which formalizes resiliency in terms of a time-frame and probability of order book replenishment. This is