Similar Search Results

Resilience and critical power system infrastructure : lessons learned from natural disasters and future research needs : Lifelines: the Resilient Infrastructure Opportunity : backg...

Schweikert, Amy; Nield, Lindsey; Otto, Erica; Deinert, Mark - 2019

Resilience against infrastructure failure is essential for ensuring the health and safety of communities during and following natural hazard situations. Understanding how natural hazards impact society in terms of economic cost, recovery time, and damages to critical infrastructure is essential...

Persistent link: https://www.econbiz.de/10012052024

The impact of liquidity shocks through the limit order book

Wuyts, Gunther - 2008

best prices, as well as resiliency, i.e. how fast the different liquidity measures recover after a liquidity shock. Our …

Persistent link: https://www.econbiz.de/10010303701

Liquidity dynamics in an electronic open limit order book: An event study approach

Gomber, Peter; Schweickert, Uwe; Theissen, Erik - 2011

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

Persistent link: https://www.econbiz.de/10010306859

Price impact and the recovery of the limit order book: Why should we care about informed liquidity providers?

Havran, Dániel; Váradi, Kata - 2015

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...

Persistent link: https://www.econbiz.de/10011444403

Resiliency: Cross-venue dynamics with Hawkes processes

Pelizzon, Loriana; Sagade, Satchit; Vozian, Katia - 2020

of global equity limit order markets. Taking market resiliency as an indicator of market quality, we investigate how …

Persistent link: https://www.econbiz.de/10012300782

Resiliency: A dynamic view of liquidity

Kempf, Alexander; Mayston, Daniel; Gehde-Trapp, Monika; … - 2015

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 …

Persistent link: https://www.econbiz.de/10010484696