ROCH, ALEXANDRE; SONER, H. METE - In: International Journal of Theoretical and Applied … 16 (2013) 06, pp. 1350037-1
We construct a model for liquidity risk and price impacts in a limit order book setting with depth, resilience and … due to depth and resilience from those related to tightness, and obtain a reduced model in which proportional costs due to … of different types of liquidity costs in terms of the depth and resilience of prices. …