Mayston, Daniel (contributor) - 2006
. . . . . . . . . . . . . . . . . . . . . 53
4 Resiliency of the Limit Order Book 61
4.1 Introduction to Resiliency . . . . . . . . . . . . . . . . . . . . . . 62 … from spread nh to nh¡1
Φ Conditioning variables
Θf Proportion of traders f in the population
Symbols in Chapter 4
A;B Ask … dramati-
cally, which made it difficult to trade at all. The fall of the Long-Term Capital
Management (LTCM) hedge fund, which …