Author

Jan Novotný

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Preprint Jul 2026

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 removed. In a single con...

Jan Novotný · 0 citations

Preprint Jul 2026

Herding and Liquidity in Order-Book Markets. II. Fundamental Anchoring and the Resilience of Liquidity

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 show this restoring force is a robust intrinsic stabiliser and identify it causally-dialling the anchor down removes the mean-reversion, and...

Jan Novotný · 0 citations

Preprint Jul 2026

Herding and Liquidity in Order-Book Markets. I. A Robust Liquidity-Stress Crossover and its Reflexive Mechanism

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 phase-diagram method to a continuous-double-auction order-book model. The method is to map the full phase diagram, test its robustness to ru...

Jan Novotný · 2 citations