Market resilience

Danielsson, Jon, Panayi, Efstathios, Peters, Gareth and Zigrand, Jean-Pierre ORCID: 0000-0002-7784-4231 (2018) Market resilience. Systemic Risk Centre Discussion Papers (78). Systemic Risk Centre, The London School of Economics and Political Science, London, UK.

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Abstract

We propose a method to capture the notion of resilience, the dynamic aspect of liquidity in the limit order book, through the Threshold Exceedance Duration (TED) metric that we introduce. This measures the duration of liquidity ‘droughts.' We illustrate the explanatory power of a survival regression framework for the duration of ‘droughts' in terms of observable state variables reflecting the shape and evolution of the limit order book using Chi-X data. Finally, we introduce a method to summarise exceedance duration information across different thresholds, called Liquidity Resilience Profile, which enables the comparison and the ranking of liquidity resilience.

Item Type:	Monograph (Discussion Paper)
Official URL:	https://www.systemicrisk.ac.uk/
Additional Information:	© 2018 The Authors
Divisions:	Finance Systemic Risk Centre
Subjects:	H Social Sciences > HC Economic History and Conditions H Social Sciences > HG Finance
JEL classification:	G - Financial Economics > G1 - General Financial Markets > G10 - General
Date Deposited:	31 May 2023 13:15
Last Modified:	16 Sep 2023 00:00
URI:	http://eprints.lse.ac.uk/id/eprint/118932

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