Liquidity Dynamics in an Electronic Open Limit Order Book: an Event Study Approach
使用交易所流动性度量（XLM）分析电子限价订单簿中流动性动态，发现大交易后流动性迅速恢复，且大交易发生在流动性异常高时，而彭博新闻对流动性无显著影响。
Abstract We analyse the dynamics of liquidity in an electronic limit order book using the Exchange Liquidity Measure (XLM), a measure of the cost of a roundtrip trade of given size V. We use intraday event study methodology to analyse how liquidity shocks ‐ large transactions and Bloomberg ticker news ‐ affect the XLM. We find that resiliency after large transactions is high, i.e., liquidity quickly reverts to ‘normal’ levels. Large trades are ‘timed’; they take place at times when liquidity is unusually high. Bloomberg ticker news items do not have a discernible effect on liquidity.