Marsh, Julia W.; Pennings, Joost M.E.; Garcia, Philip - NCR-134 Conference on Applied Commodity Price Analysis, … - 2004
Traders' perceptions drive their market behavior, and can influence the dynamics of liquidity. This study surveyed 420 traders on their perceptions of the price path during an order imbalance to better understand the dynamics of liquidity. While most liquidity models assume a linear price path,...