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Herding and Liquidity in Order-Book Markets. III. Leverage and the Onset of Endogenous Liquidity Crises under Weak Anchoring
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 anchor strength as a continuous control and characterise the endogenous liquidity crises that appear once it is nearly remo
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