Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/107628
Authors: 
Kempf, Alexander
Mayston, Daniel
Gehde-Trapp, Monika
Yadav, Pradeep K.
Year of Publication: 
2015
Series/Report no.: 
CFR Working Paper 15-04
Abstract: 
This paper investigates resiliency to provide a dynamic perspective on liquidity. We define resiliency as the rate of mean reversion in liquidity. Resiliency increases with the proportion of patient traders, decreases with order arrival rate, and increases with tick size; providing strong support for the Foucault, Kadan, and Kandel (2005) model. Resiliency is also greater when information-related risks are lower. Algorithmic trading is associated with higher resiliency, but less so for smaller stocks and in information-intensive periods. Our results for spread and depth resiliency are similar, and robust with respect to the order book depth at which liquidity is measured.
Subjects: 
Liquidity
Resiliency
JEL: 
G10
G14
Document Type: 
Working Paper

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