Engle, Robert F.; Fleming, Michael J.; Ghysels, Eric; … - 2012
We propose a new class of dynamic order book models that allow us to 1) study episodes of extreme low liquidity and 2 …) unite liquidity and volatility in one framework through which their joint dynamics can be examined. Liquidity and volatility … safety as having much lower market depth, along with higher trading volume and greater price uncertainty. -- liquidity …
