  We present an empirical analysis of the microstructure of financial markets
and, in particular, of the static and dynamic properties of liquidity. We find
that on relatively large time scales (15 minutes) large price fluctuations are
connected to the failure of the subtle mechanism of compensation between the
flows of market and limit orders: in other words, the missed revelation of the
latent order book breaks the dynamical equilibrium between the flows,
triggering the large price jumps. On smaller time scales (30 seconds), instead,
the static depletion of the limit order book is an indicator of an intrinsic
fragility of the system, which is related to a strongly non linear enhancement
of the response. In order to quantify this phenomenon we introduce a measure of
the liquidity imbalance present in the book and we show that it is correlated
to both the sign and the magnitude of the next price movement. These findings
provide a quantitative definition of the effective liquidity, which results to
be strongly dependent on the considered time scales.
