liquidity shocks and order book dynamics
TRANSCRIPT
![Page 1: Liquidity Shocks and Order Book Dynamics](https://reader031.vdocument.in/reader031/viewer/2022021321/577d376e1a28ab3a6b95abd7/html5/thumbnails/1.jpg)
8/9/2019 Liquidity Shocks and Order Book Dynamics
http://slidepdf.com/reader/full/liquidity-shocks-and-order-book-dynamics 1/51
![Page 2: Liquidity Shocks and Order Book Dynamics](https://reader031.vdocument.in/reader031/viewer/2022021321/577d376e1a28ab3a6b95abd7/html5/thumbnails/2.jpg)
8/9/2019 Liquidity Shocks and Order Book Dynamics
http://slidepdf.com/reader/full/liquidity-shocks-and-order-book-dynamics 2/51
![Page 3: Liquidity Shocks and Order Book Dynamics](https://reader031.vdocument.in/reader031/viewer/2022021321/577d376e1a28ab3a6b95abd7/html5/thumbnails/3.jpg)
8/9/2019 Liquidity Shocks and Order Book Dynamics
http://slidepdf.com/reader/full/liquidity-shocks-and-order-book-dynamics 3/51
![Page 4: Liquidity Shocks and Order Book Dynamics](https://reader031.vdocument.in/reader031/viewer/2022021321/577d376e1a28ab3a6b95abd7/html5/thumbnails/4.jpg)
8/9/2019 Liquidity Shocks and Order Book Dynamics
http://slidepdf.com/reader/full/liquidity-shocks-and-order-book-dynamics 4/51
![Page 5: Liquidity Shocks and Order Book Dynamics](https://reader031.vdocument.in/reader031/viewer/2022021321/577d376e1a28ab3a6b95abd7/html5/thumbnails/5.jpg)
8/9/2019 Liquidity Shocks and Order Book Dynamics
http://slidepdf.com/reader/full/liquidity-shocks-and-order-book-dynamics 5/51
![Page 6: Liquidity Shocks and Order Book Dynamics](https://reader031.vdocument.in/reader031/viewer/2022021321/577d376e1a28ab3a6b95abd7/html5/thumbnails/6.jpg)
8/9/2019 Liquidity Shocks and Order Book Dynamics
http://slidepdf.com/reader/full/liquidity-shocks-and-order-book-dynamics 6/51
![Page 7: Liquidity Shocks and Order Book Dynamics](https://reader031.vdocument.in/reader031/viewer/2022021321/577d376e1a28ab3a6b95abd7/html5/thumbnails/7.jpg)
8/9/2019 Liquidity Shocks and Order Book Dynamics
http://slidepdf.com/reader/full/liquidity-shocks-and-order-book-dynamics 7/51
![Page 8: Liquidity Shocks and Order Book Dynamics](https://reader031.vdocument.in/reader031/viewer/2022021321/577d376e1a28ab3a6b95abd7/html5/thumbnails/8.jpg)
8/9/2019 Liquidity Shocks and Order Book Dynamics
http://slidepdf.com/reader/full/liquidity-shocks-and-order-book-dynamics 8/51
![Page 9: Liquidity Shocks and Order Book Dynamics](https://reader031.vdocument.in/reader031/viewer/2022021321/577d376e1a28ab3a6b95abd7/html5/thumbnails/9.jpg)
8/9/2019 Liquidity Shocks and Order Book Dynamics
http://slidepdf.com/reader/full/liquidity-shocks-and-order-book-dynamics 9/51
![Page 10: Liquidity Shocks and Order Book Dynamics](https://reader031.vdocument.in/reader031/viewer/2022021321/577d376e1a28ab3a6b95abd7/html5/thumbnails/10.jpg)
8/9/2019 Liquidity Shocks and Order Book Dynamics
http://slidepdf.com/reader/full/liquidity-shocks-and-order-book-dynamics 10/51
![Page 11: Liquidity Shocks and Order Book Dynamics](https://reader031.vdocument.in/reader031/viewer/2022021321/577d376e1a28ab3a6b95abd7/html5/thumbnails/11.jpg)
8/9/2019 Liquidity Shocks and Order Book Dynamics
http://slidepdf.com/reader/full/liquidity-shocks-and-order-book-dynamics 11/51
![Page 12: Liquidity Shocks and Order Book Dynamics](https://reader031.vdocument.in/reader031/viewer/2022021321/577d376e1a28ab3a6b95abd7/html5/thumbnails/12.jpg)
8/9/2019 Liquidity Shocks and Order Book Dynamics
http://slidepdf.com/reader/full/liquidity-shocks-and-order-book-dynamics 12/51
![Page 13: Liquidity Shocks and Order Book Dynamics](https://reader031.vdocument.in/reader031/viewer/2022021321/577d376e1a28ab3a6b95abd7/html5/thumbnails/13.jpg)
8/9/2019 Liquidity Shocks and Order Book Dynamics
http://slidepdf.com/reader/full/liquidity-shocks-and-order-book-dynamics 13/51
![Page 14: Liquidity Shocks and Order Book Dynamics](https://reader031.vdocument.in/reader031/viewer/2022021321/577d376e1a28ab3a6b95abd7/html5/thumbnails/14.jpg)
8/9/2019 Liquidity Shocks and Order Book Dynamics
http://slidepdf.com/reader/full/liquidity-shocks-and-order-book-dynamics 14/51
![Page 15: Liquidity Shocks and Order Book Dynamics](https://reader031.vdocument.in/reader031/viewer/2022021321/577d376e1a28ab3a6b95abd7/html5/thumbnails/15.jpg)
8/9/2019 Liquidity Shocks and Order Book Dynamics
http://slidepdf.com/reader/full/liquidity-shocks-and-order-book-dynamics 15/51
![Page 16: Liquidity Shocks and Order Book Dynamics](https://reader031.vdocument.in/reader031/viewer/2022021321/577d376e1a28ab3a6b95abd7/html5/thumbnails/16.jpg)
8/9/2019 Liquidity Shocks and Order Book Dynamics
http://slidepdf.com/reader/full/liquidity-shocks-and-order-book-dynamics 16/51
![Page 17: Liquidity Shocks and Order Book Dynamics](https://reader031.vdocument.in/reader031/viewer/2022021321/577d376e1a28ab3a6b95abd7/html5/thumbnails/17.jpg)
8/9/2019 Liquidity Shocks and Order Book Dynamics
http://slidepdf.com/reader/full/liquidity-shocks-and-order-book-dynamics 17/51
![Page 18: Liquidity Shocks and Order Book Dynamics](https://reader031.vdocument.in/reader031/viewer/2022021321/577d376e1a28ab3a6b95abd7/html5/thumbnails/18.jpg)
8/9/2019 Liquidity Shocks and Order Book Dynamics
http://slidepdf.com/reader/full/liquidity-shocks-and-order-book-dynamics 18/51
![Page 19: Liquidity Shocks and Order Book Dynamics](https://reader031.vdocument.in/reader031/viewer/2022021321/577d376e1a28ab3a6b95abd7/html5/thumbnails/19.jpg)
8/9/2019 Liquidity Shocks and Order Book Dynamics
http://slidepdf.com/reader/full/liquidity-shocks-and-order-book-dynamics 19/51
![Page 20: Liquidity Shocks and Order Book Dynamics](https://reader031.vdocument.in/reader031/viewer/2022021321/577d376e1a28ab3a6b95abd7/html5/thumbnails/20.jpg)
8/9/2019 Liquidity Shocks and Order Book Dynamics
http://slidepdf.com/reader/full/liquidity-shocks-and-order-book-dynamics 20/51
![Page 21: Liquidity Shocks and Order Book Dynamics](https://reader031.vdocument.in/reader031/viewer/2022021321/577d376e1a28ab3a6b95abd7/html5/thumbnails/21.jpg)
8/9/2019 Liquidity Shocks and Order Book Dynamics
http://slidepdf.com/reader/full/liquidity-shocks-and-order-book-dynamics 21/51
![Page 22: Liquidity Shocks and Order Book Dynamics](https://reader031.vdocument.in/reader031/viewer/2022021321/577d376e1a28ab3a6b95abd7/html5/thumbnails/22.jpg)
8/9/2019 Liquidity Shocks and Order Book Dynamics
http://slidepdf.com/reader/full/liquidity-shocks-and-order-book-dynamics 22/51
![Page 23: Liquidity Shocks and Order Book Dynamics](https://reader031.vdocument.in/reader031/viewer/2022021321/577d376e1a28ab3a6b95abd7/html5/thumbnails/23.jpg)
8/9/2019 Liquidity Shocks and Order Book Dynamics
http://slidepdf.com/reader/full/liquidity-shocks-and-order-book-dynamics 23/51
![Page 24: Liquidity Shocks and Order Book Dynamics](https://reader031.vdocument.in/reader031/viewer/2022021321/577d376e1a28ab3a6b95abd7/html5/thumbnails/24.jpg)
8/9/2019 Liquidity Shocks and Order Book Dynamics
http://slidepdf.com/reader/full/liquidity-shocks-and-order-book-dynamics 24/51
![Page 25: Liquidity Shocks and Order Book Dynamics](https://reader031.vdocument.in/reader031/viewer/2022021321/577d376e1a28ab3a6b95abd7/html5/thumbnails/25.jpg)
8/9/2019 Liquidity Shocks and Order Book Dynamics
http://slidepdf.com/reader/full/liquidity-shocks-and-order-book-dynamics 25/51
![Page 26: Liquidity Shocks and Order Book Dynamics](https://reader031.vdocument.in/reader031/viewer/2022021321/577d376e1a28ab3a6b95abd7/html5/thumbnails/26.jpg)
8/9/2019 Liquidity Shocks and Order Book Dynamics
http://slidepdf.com/reader/full/liquidity-shocks-and-order-book-dynamics 26/51
![Page 27: Liquidity Shocks and Order Book Dynamics](https://reader031.vdocument.in/reader031/viewer/2022021321/577d376e1a28ab3a6b95abd7/html5/thumbnails/27.jpg)
8/9/2019 Liquidity Shocks and Order Book Dynamics
http://slidepdf.com/reader/full/liquidity-shocks-and-order-book-dynamics 27/51
![Page 28: Liquidity Shocks and Order Book Dynamics](https://reader031.vdocument.in/reader031/viewer/2022021321/577d376e1a28ab3a6b95abd7/html5/thumbnails/28.jpg)
8/9/2019 Liquidity Shocks and Order Book Dynamics
http://slidepdf.com/reader/full/liquidity-shocks-and-order-book-dynamics 28/51
![Page 29: Liquidity Shocks and Order Book Dynamics](https://reader031.vdocument.in/reader031/viewer/2022021321/577d376e1a28ab3a6b95abd7/html5/thumbnails/29.jpg)
8/9/2019 Liquidity Shocks and Order Book Dynamics
http://slidepdf.com/reader/full/liquidity-shocks-and-order-book-dynamics 29/51
![Page 30: Liquidity Shocks and Order Book Dynamics](https://reader031.vdocument.in/reader031/viewer/2022021321/577d376e1a28ab3a6b95abd7/html5/thumbnails/30.jpg)
8/9/2019 Liquidity Shocks and Order Book Dynamics
http://slidepdf.com/reader/full/liquidity-shocks-and-order-book-dynamics 30/51
![Page 31: Liquidity Shocks and Order Book Dynamics](https://reader031.vdocument.in/reader031/viewer/2022021321/577d376e1a28ab3a6b95abd7/html5/thumbnails/31.jpg)
8/9/2019 Liquidity Shocks and Order Book Dynamics
http://slidepdf.com/reader/full/liquidity-shocks-and-order-book-dynamics 31/51
![Page 32: Liquidity Shocks and Order Book Dynamics](https://reader031.vdocument.in/reader031/viewer/2022021321/577d376e1a28ab3a6b95abd7/html5/thumbnails/32.jpg)
8/9/2019 Liquidity Shocks and Order Book Dynamics
http://slidepdf.com/reader/full/liquidity-shocks-and-order-book-dynamics 32/51
![Page 33: Liquidity Shocks and Order Book Dynamics](https://reader031.vdocument.in/reader031/viewer/2022021321/577d376e1a28ab3a6b95abd7/html5/thumbnails/33.jpg)
8/9/2019 Liquidity Shocks and Order Book Dynamics
http://slidepdf.com/reader/full/liquidity-shocks-and-order-book-dynamics 33/51
![Page 34: Liquidity Shocks and Order Book Dynamics](https://reader031.vdocument.in/reader031/viewer/2022021321/577d376e1a28ab3a6b95abd7/html5/thumbnails/34.jpg)
8/9/2019 Liquidity Shocks and Order Book Dynamics
http://slidepdf.com/reader/full/liquidity-shocks-and-order-book-dynamics 34/51
![Page 35: Liquidity Shocks and Order Book Dynamics](https://reader031.vdocument.in/reader031/viewer/2022021321/577d376e1a28ab3a6b95abd7/html5/thumbnails/35.jpg)
8/9/2019 Liquidity Shocks and Order Book Dynamics
http://slidepdf.com/reader/full/liquidity-shocks-and-order-book-dynamics 35/51
![Page 36: Liquidity Shocks and Order Book Dynamics](https://reader031.vdocument.in/reader031/viewer/2022021321/577d376e1a28ab3a6b95abd7/html5/thumbnails/36.jpg)
8/9/2019 Liquidity Shocks and Order Book Dynamics
http://slidepdf.com/reader/full/liquidity-shocks-and-order-book-dynamics 36/51
![Page 37: Liquidity Shocks and Order Book Dynamics](https://reader031.vdocument.in/reader031/viewer/2022021321/577d376e1a28ab3a6b95abd7/html5/thumbnails/37.jpg)
8/9/2019 Liquidity Shocks and Order Book Dynamics
http://slidepdf.com/reader/full/liquidity-shocks-and-order-book-dynamics 37/51
![Page 38: Liquidity Shocks and Order Book Dynamics](https://reader031.vdocument.in/reader031/viewer/2022021321/577d376e1a28ab3a6b95abd7/html5/thumbnails/38.jpg)
8/9/2019 Liquidity Shocks and Order Book Dynamics
http://slidepdf.com/reader/full/liquidity-shocks-and-order-book-dynamics 38/51
![Page 39: Liquidity Shocks and Order Book Dynamics](https://reader031.vdocument.in/reader031/viewer/2022021321/577d376e1a28ab3a6b95abd7/html5/thumbnails/39.jpg)
8/9/2019 Liquidity Shocks and Order Book Dynamics
http://slidepdf.com/reader/full/liquidity-shocks-and-order-book-dynamics 39/51
![Page 40: Liquidity Shocks and Order Book Dynamics](https://reader031.vdocument.in/reader031/viewer/2022021321/577d376e1a28ab3a6b95abd7/html5/thumbnails/40.jpg)
8/9/2019 Liquidity Shocks and Order Book Dynamics
http://slidepdf.com/reader/full/liquidity-shocks-and-order-book-dynamics 40/51
![Page 41: Liquidity Shocks and Order Book Dynamics](https://reader031.vdocument.in/reader031/viewer/2022021321/577d376e1a28ab3a6b95abd7/html5/thumbnails/41.jpg)
8/9/2019 Liquidity Shocks and Order Book Dynamics
http://slidepdf.com/reader/full/liquidity-shocks-and-order-book-dynamics 41/51
![Page 42: Liquidity Shocks and Order Book Dynamics](https://reader031.vdocument.in/reader031/viewer/2022021321/577d376e1a28ab3a6b95abd7/html5/thumbnails/42.jpg)
8/9/2019 Liquidity Shocks and Order Book Dynamics
http://slidepdf.com/reader/full/liquidity-shocks-and-order-book-dynamics 42/51
![Page 43: Liquidity Shocks and Order Book Dynamics](https://reader031.vdocument.in/reader031/viewer/2022021321/577d376e1a28ab3a6b95abd7/html5/thumbnails/43.jpg)
8/9/2019 Liquidity Shocks and Order Book Dynamics
http://slidepdf.com/reader/full/liquidity-shocks-and-order-book-dynamics 43/51
![Page 44: Liquidity Shocks and Order Book Dynamics](https://reader031.vdocument.in/reader031/viewer/2022021321/577d376e1a28ab3a6b95abd7/html5/thumbnails/44.jpg)
8/9/2019 Liquidity Shocks and Order Book Dynamics
http://slidepdf.com/reader/full/liquidity-shocks-and-order-book-dynamics 44/51
![Page 45: Liquidity Shocks and Order Book Dynamics](https://reader031.vdocument.in/reader031/viewer/2022021321/577d376e1a28ab3a6b95abd7/html5/thumbnails/45.jpg)
8/9/2019 Liquidity Shocks and Order Book Dynamics
http://slidepdf.com/reader/full/liquidity-shocks-and-order-book-dynamics 45/51
![Page 46: Liquidity Shocks and Order Book Dynamics](https://reader031.vdocument.in/reader031/viewer/2022021321/577d376e1a28ab3a6b95abd7/html5/thumbnails/46.jpg)
8/9/2019 Liquidity Shocks and Order Book Dynamics
http://slidepdf.com/reader/full/liquidity-shocks-and-order-book-dynamics 46/51
![Page 47: Liquidity Shocks and Order Book Dynamics](https://reader031.vdocument.in/reader031/viewer/2022021321/577d376e1a28ab3a6b95abd7/html5/thumbnails/47.jpg)
8/9/2019 Liquidity Shocks and Order Book Dynamics
http://slidepdf.com/reader/full/liquidity-shocks-and-order-book-dynamics 47/51
![Page 48: Liquidity Shocks and Order Book Dynamics](https://reader031.vdocument.in/reader031/viewer/2022021321/577d376e1a28ab3a6b95abd7/html5/thumbnails/48.jpg)
8/9/2019 Liquidity Shocks and Order Book Dynamics
http://slidepdf.com/reader/full/liquidity-shocks-and-order-book-dynamics 48/51
![Page 49: Liquidity Shocks and Order Book Dynamics](https://reader031.vdocument.in/reader031/viewer/2022021321/577d376e1a28ab3a6b95abd7/html5/thumbnails/49.jpg)
8/9/2019 Liquidity Shocks and Order Book Dynamics
http://slidepdf.com/reader/full/liquidity-shocks-and-order-book-dynamics 49/51
![Page 50: Liquidity Shocks and Order Book Dynamics](https://reader031.vdocument.in/reader031/viewer/2022021321/577d376e1a28ab3a6b95abd7/html5/thumbnails/50.jpg)
8/9/2019 Liquidity Shocks and Order Book Dynamics
http://slidepdf.com/reader/full/liquidity-shocks-and-order-book-dynamics 50/51
![Page 51: Liquidity Shocks and Order Book Dynamics](https://reader031.vdocument.in/reader031/viewer/2022021321/577d376e1a28ab3a6b95abd7/html5/thumbnails/51.jpg)
8/9/2019 Liquidity Shocks and Order Book Dynamics
http://slidepdf.com/reader/full/liquidity-shocks-and-order-book-dynamics 51/51