Measuring the resiliency of an electroni
✍
Jeremy Large
📂
Article
📅
2007
🏛
Elsevier Science
🌐
English
⚖ 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