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Liquidity-constrained index tracking optimization models
Annals of Operations Research, 2021zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Eduardo Bered Fernandes Vieira +2 more
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The Journal of Fixed Income, 2016
The recent financial crisis reignited concerns about systemic risk in the financial industry. For the first time, systemic risk was caused by a lack of liquidity in the marketplace. To deal with this newly revealed systemic risk, researchers have developed various quantitative indicators.
Ren-Raw Chen, Wei He, Wenling Lin
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The recent financial crisis reignited concerns about systemic risk in the financial industry. For the first time, systemic risk was caused by a lack of liquidity in the marketplace. To deal with this newly revealed systemic risk, researchers have developed various quantitative indicators.
Ren-Raw Chen, Wei He, Wenling Lin
openaire +1 more source
An index-based measure of liquidity
Journal of Banking & Finance, 2011The liquidity shocks of '08-'09 revealed that measures of liquidity risk being used in most financial institutions turned out to be woefully inadequate. The construction of long-short portfolios based on liquidity proxies introduces errors such as extraneous risk factors and hedging error.
Sanjiv Ranjan Das +2 more
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International Review of Financial Analysis, 2014 This article examines how the introduction of an ETF replicating a stock index impacts on the liquidity of the underlying stocks when the ETF market involves liquidity providers (LPs).
Rudy De Winne, Carole Gresse
exaly +2 more sources
Retention index scale for liquid—liquid chromatography
Journal of Chromatography A, 1979Abstract A retention index scale based on the relative retention of a homologous series of C 3 C 23 2-keto alkanes was used to characterize the chromatographic properties of several drugs with four basic reversed-phase systems each using several mobile phase compositions.
John K. Baker, Cheng-Yu Ma
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Complex refractive index of turbid liquids
Optics Letters, 2007We present a multifunction spectrophotometer for the measurement of light reflection from thick and transmission from very thin turbid liquid samples. Moreover, we present a method to get the complex refractive index of such turbid liquids. As an example of the high performance of the device and the method, we present data on inks that are used in ...
Ilpo, Niskanen +2 more
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Refractive index of a transparent liquid
Physics Education, 2015This article describes an alternative method to determine the refractive index of transparent liquids. The method only requires a laser pointer, a ruler and a modified fish tank.
L A Ladino, S H Rondón
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From funding liquidity to market liquidity: Evidence from the index options market
Journal of Futures Markets, 2018 This study examines the relationship between funding liquidity and market liquidity using daily data on the S&P 500 index options. We find that options market liquidity is positively correlated with funding liquidity after controlling for market ...
Chunbo Liu, Cheng Zhang, Zhiping Zhou
exaly +2 more sources
Measuring Liquidity: The Global Liquidity Indexes (GLI)
2020The CrossBorder Capital Global Liquidity Indexes (GLIs) are defined and analysed, as a case study. The GLI are regularly published indexes of liquidity covering around 80 economies Worldwide. These indexes are split into three sources—Central Bank provision; private sector supply from traditional banks and shadow banks and cross-border flows.
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Systemic Liquidity Index for India
SSRN Electronic Journal, 2012Stress in liquidity is at the heart of any banking crisis in history. During the financial crisis of 2007-09, funding liquidity risk caused the collapse of interbank markets, which became the focus of authorities’ attention at restoring order. Accordingly, central banks and other regulatory bodies world-wide have been evolving prudential liquidity ...
Dr. Rabi N. Mishra +2 more
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