(which are exogenous events because they originate outside of the market). We find that resiliency after large transactions …

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 …