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. 2015 Oct 8;10(10):e0139356. doi: 10.1371/journal.pone.0139356

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© 2015 Donier, Bouchaud

This is an open-access article distributed under the terms of the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original author and source are properly credited.

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Fig 5 — Parallel evolution of the three price drops ϕ* deduced from our three estimates of illiquidity $ℒ_{OB}^{- 1}, ℒ_{I}^{- 1}, ℒ_{TH}^{- 1}$ defined above. The estimates based on $ℒ_{I}^{- 1}, ℒ_{TH}^{- 1}$ have been rescaled by a factor 6.10⁴ to match the average order book data prediction.