Resiliency in the E‐mini futures market
研究了E-迷你期货订单簿中流动性补充的速度，发现使用限价单的耐心参与者补单快，而使用市价单的急躁参与者重新入场慢，且延迟受交易者类型、订单价格改进状态和交易量等因素影响。
Abstract We study how quickly liquidity is replenished on the order book in E‐mini futures. The results show that participants who use patient methods, such as limit orders, are often fast to place new orders, while those using impatient market orders are slow to re‐enter the market. These delays are a function of state constants, such as firm types, state conditions, such as whether the order is price improving, and time‐varying covariates, such as the volume of trade during the gap. We also find support for the view that certain traders delay providing liquidity during active markets to avoid informed trading.