3 papers
q-fin.TR2026
Herding and Liquidity in Order-Book Markets. III. Leverage and the Onset of Endogenous Liquidity Crises under Weak Anchoring
Jan Novotny
Fundamental-value anchoring of resting liquidity is a causal stabiliser of an order-book market: while the anchor holds, even a heavily leveraged book stays quiet. We take that anc…
q-fin.TR2026
Herding and Liquidity in Order-Book Markets. II. Fundamental Anchoring and the Resilience of Liquidity
Jan Novotny
An order-book market whose liquidity provision is anchored to a fundamental value carries a restoring force: the price mean-reverts to value and the book refills after a shock. We…
q-fin.TR2026
Herding and Liquidity in Order-Book Markets. I. A Robust Liquidity-Stress Crossover and its Reflexive Mechanism
Jan Novotny
Agent-based models of markets readily produce emergent instabilities, but telling a genuine collective effect apart from a parameter artefact takes discipline. We apply Bouchaud's…