Digital Library

of the European Council for Modelling and Simulation



Resiliency On Order-Driven Markets


Daniel Havran, Kata Varadi

Published in:



(2015).ECMS 2015 Proceedings edited by: Valeri M. Mladenov, Grisha Spasov, Petia Georgieva, Galidiya Petrova, European Council for Modeling and Simulation. doi:10.7148/2015



ISBN: 978-0-9932440-0-1


29th European Conference on Modelling and Simulation,

Albena (Varna), Bulgaria, May 26th – 29th, 2015


Citation format:

Daniel Havran, Kata Varadi(2015). Resiliency On Order-Driven Markets, ECMS 2015 Proceedings edited by: Valeri M. Mladenov, Petia Georgieva, Grisha Spasov, Galidiya Petrova  European Council for Modeling and Simulation. doi:10.7148/2015-0132



Market liquidity has an important role in trading on stock markets, since on illiquid markets the implicit cost of trading can cause notable losses for the investors. Therefore market participants should always measure the liquidity of the markets, which they can carry out in two ways, in a static and in a dynamic form. The most commonly used liquidity measures – bid-ask spread and the turnover – quantify liquidity statically, and there are only a few ways to measure liquidity dynamically. In this paper we will introduce a method which enables the market participants to analyse the liquidity of a market in a dynamic framework. We will use a vector-autoregressive estimation and simulation method to show how the liquidity of the market recovers after a shock happens on the market, namely we will measure the resiliency of the market.

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