English, Article, Journal or magazine article edition: Volatility regimes and the provisions of liquidity in order book markets Helena, BELTRAN; Alain, DURRE; Pierre, GIOT

User activity

Share to:
 
Bookmark: http://trove.nla.gov.au/version/177891
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Volatility regimes and the provisions of liquidity in order book markets
Author
  • Helena, BELTRAN
  • Alain, DURRE
  • Pierre, GIOT
Physical Description
  • preprint
Notes
  • We analyze whether the liquidity provision in a pure order book market during normal market conditions (low volatility regime) differs from what is observed when the market is under stress (high volatility regime). We show that the static relationship between liquidity and volatility is resilient to regime changes in volatility. Nevertheless, we do find that it is more costly to trade when volatility is large. A VAR analysis shows that the liquidity dynamics is similar in the low and high volatility regimes, although the drop in liquidity subsequent to volatility shocks is larger in the high volatility regime. Finally, the market is more resilient to volatility or liquidity shocks in periods of turnoils.
  • order book; volatility; liquidity
  • RePEc:ctl:louvec:2005015
Language
  • English
Contributed by
OAIster

Get this edition

Other links

  • Set up My libraries

    How do I set up "My libraries"?

    In order to set up a list of libraries that you have access to, you must first login or sign up. Then set up a personal list of libraries from your profile page by clicking on your user name at the top right of any screen.

  • All (1)
  • Unknown (1)
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.

User activity


e.g. test cricket, Perth (WA), "Parkes, Henry"

Separate different tags with a comma. To include a comma in your tag, surround the tag with double quotes.

Be the first to add a tag for this edition

Be the first to add this to a list

Comments and reviews

What are comments? Add a comment

No user comments or reviews for this version

Add a comment