From minutes to seconds and beyond: measuring order-book resiliency in fragmented electronic securities markets.

摘要: This study sheds light on the resiliency of competing electronic order-driven markets by investigating time path liquidity after a large endogenous shock means an intra-day event study. We confirm earlier results that trades, which qualify as shocks for purpose this analysis, are timed they occur when in market is extraordinarily high. Moreover, we find adverse effects peak within first-minute interval trade. In contrast to previous researchers’ results, discover recovers not minutes, but few seconds so effect already diminishes significantly towards end first post-event minute. Three minutes later, basically no residue from remains observable. attribute finding fact temporary order-book imbalances immediately detected algorithmic trading engines and high-frequency traders whose order management (IT-) systems continuously eagleeying stock such opportunities. Interestingly, our differ depending under scrutiny.