We examine the dynamics of the limit order book recovery in the purely order-driven markets. The configuration of the current limit placements in the order book determines the costs over the mid-quote for the buy and sell trades. By analyzing the relationship between the costs of the possible...

We introduce the Budapest Liquidity Measure (BLM) and one of its possible applications in the field of risk management. BLM is a weighted spread measure, it represents the implicit costs of trading, which arise from the fact that actual trading is not executed at the mid-price. Traditional VaR...

The Budapest Liquidity Measure (BLM) was created by the Budapest Stock Exchange (BSE) in 2005 to provide the market with a simple index which assists market participants in making investment decisions by showing how liquid the single securities and the entire market is at the moment. Liquidity...