市场对暂时流动性危机的反应和对市场的长期影响
Market reaction to temporary liquidity crises and the permanent market impact
摘要：
我们研究放松动态的买卖价差和中间价突然，大的变化的价差，对应于一个临时的流动性危机，在一个双重拍卖的金融市场。我们发现，由于流动性提供者的战略性限价指令放置，利差非常缓慢地衰减到其正常值。我们考虑几个数量，如订单放置率和分布，影响的衰减的蔓延。我们测量的永久性影响都是一个通用的事件改变传播和一个单一的交易，我们发现在这两种情况下的直接和永久性的影响之间的近似线性关系。
英文摘要：
We study the relaxation dynamics of the bid-ask spread and of the midprice after a sudden, large variation of the spread, corresponding to a temporary crisis of liquidity in a double auction financial market. We find that the spread decays very slowly to its normal value as a consequence of the strategic limit order placement of liquidity providers. We consider several quantities, such as order placement rates and distribution, that affect the decay of the spread. We measure the permanent impact both of a generic event altering the spread and of a single transaction and we find an approximately linear relation between immediate and permanent impact in both cases.
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