Pelizzon, Loriana; Sagade, Satchit; Vozian, Katia - 2020 - This version: September 16th, 2020
of global equity limit order markets. Taking market resiliency as an indicator of market quality, we investigate how … that when liquidity becomes scarce Chi-X is a less resilient venue than LSE with variations existing across stocks and time …. In comparison with LSE, Chi-X has more, longer, and severer liquidity shocks. Whereas the vast majority of liquidity …