Results 111 to 120 of about 292,088 (207)
The impact of hidden liquidity in limit order books [PDF]
, 2008 We report evidence that the presence of hidden liquidity is associated with greater liquidity in the order books, greater trading volume, and smaller price impact.
Frey, Stefan, Sandas, Patrik
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Global Liquidity, Risk Premiums and Growth Opportunities [PDF]
This paper constructs new indicators of liquidity for equity, bond and money markets in major advanced and emerging market countries, documents their evolution and co-movements, and assesses the extent to which such measures are determinants of selected ...
Gianni De Nicolò, Iryna Ivaschenko
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Liquidity in global markets. [PDF]
The latest episode of turbulence has been marked by an extended period of illiquidity in a large number of markets –ranging from traditionally highly liquid interbank money markets to the less-liquid structured credit markets.
Caruana, J., Kodres, L.
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We explore the role of dealers to determine whether they are liquidity-providing market makers or liquidity-taking information traders. Standard models of market making, such as Kyle (1985) and Grossman and Miller (1988), imply a negative contemporaneous
Albert Wang, Joon Chae
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Self-fulfilling liquidity dry-ups [PDF]
Secondary markets for long-term assets might be illiquid due to adverse selection. In a model in which moral hazard is confined to project initiation, I find that: (1) when agents expect a liquidity dry-up on such markets, they optimally choose to self ...
Frédéric Malherbe
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Dynamics in systematic liquidity [PDF]
We develop the principal component analysis (PCA) approach to systematic liquidity measurement by introducing moving and expanding estimation windows.
Birger Nilsson +3 more
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Equilibrium Fee Schedules in a Monopolist Call Market [PDF]
Liquidity plays a crucial role in financial exchange markets. Markets typically create liquidity through spatial consolidation with specialist/market makers matching orders arriving at different times. However, continuous trading systems have an inherent
Jeff Heisler, Nicholas Economides
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Credit risk transfer, hedge funds, and the supply of liquidity [PDF]
This paper provides a discussion about some recent issues related to the transfer of credit risk (CRT) from the perspective of global liquidity. The CRT market is enormously growing and exhibits major structural shifts in terms of buyers and sellers of ...
Heinz Zimmermann
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