Depth, Liquidity, and Resilience
Liquidity has several dimensions: tight prices, available quantity, low impact, immediacy, and recovery after demand consumes the book.
Central questions
- Why is visible depth not identical to executable liquidity?
- How does required trade size change the relevant spread?
- What does resilience measure after a shock?
Planned model
Walk market orders through adjustable depth, then animate cancellations and replenishment. Plot average execution price, impact, and recovery time.