Understanding the ex-ante cost of liquidity in the limit order book: A note

This paper estimates a new measure of liquidity costs in a market driven by orders. It represents thecost of simultaneously buying and selling a given amount of shares, and it is given by a single measure of ex-ante liquidity that aggregates all available information in the limit order book for a given number of shares. The cost of liquidity is an increasing function relating bid-ask spreads with the amounts available for trading. This measure completely characterizes the cost of liquidity of any given asset. It does not suffer from the usual ambiguities related to either the bid-ask spread or depth when they are considered separately. On the contrary, with a single measure, we are able to capture all dimensions of liquidity costs on ex-ante basis.

Stability and Limit Oscillations of a Control Event-Based Sampling Criterion

This paper investigates the presence of limit oscillations in an adaptive sampling system. The basic sampling criterion operates in the sense that each next sampling occurs when the absolute difference of the signal amplitude with respect to its currently sampled signal equalizes a prescribed threshold amplitude. The sampling criterion is extended involving a prescribed set of amplitudes. The limit oscillations might be interpreted through the equivalence of the adaptive sampling and hold device with a nonlinear one consisting of a relay with multiple hysteresis whose parameterization is, in general, dependent on the initial conditions of the dynamic system. The performed study is performed on the time domain.

The omega failure in the crash-recovery model

190 p.