ABSTRACT
This article analyzes resiliency in an order-drivenmarket. Resiliency refers to how fast dimensions of liquidity, such as best prices, depths or duration, recover to their normal (i.e. steady state) level after the market has been hit by a liquidity shock. Recovery of liquidity following liquidity shocks is especially crucial in order-drivenmarkets since nomarket makers are present with an obligation tomaintain an orderlymarket by providing liquidity. Can order-drivenmarkets be resilient without their presence?
