英文标题：
《Liquidity crises on different time scales》
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作者：
Francesco Corradi, Andrea Zaccaria, and Luciano Pietronero
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最新提交年份：
2015
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英文摘要：
We present an empirical analysis of the microstructure of financial markets and, in particular, of the static and dynamic properties of liquidity. We find that on relatively large time scales (15 minutes) large price fluctuations are connected to the failure of the subtle mechanism of compensation between the flows of market and limit orders: in other words, the missed revelation of the latent order book breaks the dynamical equilibrium between the flows, triggering the large price jumps. On smaller time scales (30 seconds), instead, the static depletion of the limit order book is an indicator of an intrinsic fragility of the system, which is related to a strongly non linear enhancement of the response. In order to quantify this phenomenon we introduce a measure of the liquidity imbalance present in the book and we show that it is correlated to both the sign and the magnitude of the next price movement. These findings provide a quantitative definition of the effective liquidity, which results to be strongly dependent on the considered time scales.
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中文摘要：
我们对金融市场的微观结构，尤其是流动性的静态和动态特性进行了实证分析。我们发现，在相对较大的时间尺度（15分钟）上，较大的价格波动与市场指令流和限价指令流之间微妙的补偿机制的失效有关：换句话说，潜在指令簿的遗漏打破了流动之间的动态平衡，触发了大的价格跳升。相反，在较小的时间尺度（30秒）上，限价指令簿的静态损耗是系统内在脆弱性的指标，这与响应的强非线性增强有关。为了量化这一现象，我们在书中介绍了流动性失衡的一种度量方法，并表明它与下一次价格运动的符号和幅度都相关。这些发现提供了有效流动性的定量定义，其结果强烈依赖于所考虑的时间尺度。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Trading and Market Microstructure 交易与市场微观结构
分类描述：Market microstructure, liquidity, exchange and auction design, automated trading, agent-based modeling and market-making
市场微观结构，流动性，交易和拍卖设计，自动化交易，基于代理的建模和做市
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