Large stock price changes: volume or liquidity?

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dc.creatorWeber, Philipp
dc.creatorRosenow, Bernd
dc.date2004-01-08
dc.date.accessioned2026-07-07T02:55:49Z
dc.date.available2026-07-07T02:55:49Z
dc.descriptionWe analyze large stock price changes of more than five standard deviations for i) TAQ data for the year 1997 and ii) order book data from the Island ECN for the year 2002. We argue that large price changes are not due to large trading volumes. Instead, we find that extreme price fluctuations are mainly caused by a low density of limit orders stored in the order book, i.e. a small liquidity.
dc.description4 pages, 5 figures
dc.identifierhttps://arxiv.org/abs/cond-mat/0401132
dc.identifierhttp://arxiv.org/abs/cond-mat/0401132
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/23082
dc.subjectCondensed Matter
dc.titleLarge stock price changes: volume or liquidity?
dc.typetext

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