TY  - UNPD
A1  - Wuyts, Gunther
T1  - The impact of hidden liquidity in limit order books
T2  - Center for Financial Studies (Frankfurt am Main): CFS working paper series ; No. 2008,53
N2  - This paper analyzes liquidity in an order driven market. We only investigate the best limits in the limit order book, but also take into account the book behind these inside prices. When subsequent prices are close to the best ones and depth at them is substantial, larger orders can be executed without an extensive price impact and without deterring liquidity. We develop and estimate several econometric models, based on depth and prices in the book, as well as on the slopes of the limit order book. The dynamics of different dimensions of liquidity are analyzed: prices, depth at and beyond the best prices, as well as resiliency, i.e. how fast the different liquidity measures recover after a liquidity shock. Our results show a somewhat less favorable image of liquidity than often found in the literature. After a liquidity shock (in the spread or depth or in the book beyond the best limits), several dimension of liquidity deteriorate at the same time. Not only does the inside spread increase, and depth at the best prices decrease, also the difference between subsequent bid and ask prices may become larger and depth provided at them decreases. The impacts are both econometrically and economically significant. Also, our findings point to an interaction between different measures of liquidity, between liquidity at the best prices and beyond in the book, and between ask and bid side of the market.
T3  - CFS working paper series - 2008, 53 
KW  - Liquidity
KW  - Resiliency
KW  - Limit Order Markets
KW  - Limit Order Book Slopes
KW  - Liquidity Shocks
KW  - Liquidität
Y1  - 2008
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/6195
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30-62322
ER  -