科研之友
微信
新浪微博
Facebook
分享链接
摘要
In order-driven markets, limit-order book (LOB) resiliency is an important microscopic indicator of market quality when the order book is hit by a liquidity shock and plays an essential role in the design of optimal submission strategies of large orders. However, the evolutionary behavior of LOB resilience around liquidity shocks is not well understood empirically. Using order flow data sets of Chinese stocks, we quantify and compare the LOB dynamics characterized by the bid-ask spread, the LOB depth and the order intensity surrounding effective market orders with different aggressiveness. We find that traders are more likely to submit effective market orders when the spreads are relatively low, the same-side depth is high, and the opposite-side depth is low. Such phenomenon is especially significant when the initial spread is 1 tick. Although the resiliency patterns show obvious diversity after different types of market orders, the spread and depth can return to the sample average within 20 best limit updates. The price resiliency behavior is dominant following aggressive market buy orders, while the price continuation behavior is dominant following less-aggressive market sell orders. Moreover, the resiliency stimulus of buy-sell shock is asymmetrical. The intensities of limit sell orders after market buy orders' shock are always higher than the intensities of limit buy orders after market sell orders' shock. The resiliency behavior of spread and depth is linked to limit order intensity.
