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- W48306299 abstract "This paper investigates commonality in liquidity for electronic limit order markets. We use order book data from the electronic trading facility for German equities. We employ conventional spread and depth measures as liquidity proxies, parameter estimates of the price impact function as well as multi-dimensional measures of price impacts and associated quoted volumes. We document substantial common movements in liquidity. The data provides evidence that commonalities are stronger deeper in the order book than around best quotes alone." @default.
- W48306299 created "2016-06-24" @default.
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- W48306299 date "2005-01-01" @default.
- W48306299 modified "2023-09-23" @default.
- W48306299 title "Commonalities in Liquidity in Pure Order-Driven Markets" @default.
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- W48306299 doi "https://doi.org/10.2139/ssrn.676964" @default.
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