LIQUIDITY COMMONALITY BEYOND BEST PRICES
研究了订单簿中更深层次的流动性共性，发现其远高于最优买卖价差处的共性，且随订单簿深度增加而增大，在早晨和市场下跌时更高。
Abstract Previous market microstructure research focuses on commonality in liquidity at the inside spread. However, liquidity at the inside spread only determines the systematic liquidity risk of small and medium trades. We study commonality in displayed liquidity beyond best prices, which determines the systematic liquidity risk of large trades. We show that it is much larger than commonality at the inside spread. The deeper we look into the order book, the higher is the level of commonality. In addition, it rises in the morning and when markets fall.