Results 21 to 30 of about 292,088 (207)
Liquidity Effects of Trading Frequency [PDF]
, 2017 In this article, we present a discrete time modeling framework, in which the shape and dynamics of a Limit Order Book (LOB) arise endogenously from an equilibrium between multiple market participants (agents).
Gayduk, Roman, Nadtochiy, Sergey
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LIQUIDITY IN A BINOMIAL MARKET
Mathematical Finance, 2010 We study the binomial version of the illiquid market model introduced by Çetin, Jarrow, and Protter for continuous time and develop efficient numerical methods for its analysis. In particular, we characterize the liquidity premium that results from the model.
Gökay, Selim, Soner, Halil Mete
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Size Effect in Market-wide Liquidity Commonality: Evidence from the Indian Stock Market
Organizations and Markets in Emerging Economies, 2019 Liquidity commonality and the co-movements in trading costs related to such commonality have remarkable implications in market microstructure. Analyzing and identifying such commonality will enable the investor and policy maker to discover evidence ...
Namitha K. Cheriyan, Daniel Lazar
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Limit order books and trade informativeness [PDF]
, 2011 In the microstructure literature, information asymmetry is an important determinant of market liquidity. The classic setting is that uninformed dedicated liquidity suppliers charge price concessions when incoming market orders are likely to be ...
Beltran-Lopez, Hélena +2 more
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, 2012 This dissertation provides a solid and in-depth discussion of market liquidity in the financial markets. In particular, it focuses upon the empirical impact of the financial crisis, ownership concentration, different types of blockholders and insider trading on market liquidity.
Robert A. Schwartz, Lin Peng
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An Entropy-Based Approach to Measurement of Stock Market Depth
Entropy, 2021 The aim of this study is to investigate market depth as a stock market liquidity dimension. A new methodology for market depth measurement exactly based on Shannon information entropy for high-frequency data is introduced and utilized.
Joanna Olbryś, Krzysztof Ostrowski
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Stock market liquidity and firm performance [PDF]
Accounting, 2017 This paper investigates the relation between stock liquidity and firm performance. Liquidity plays an important role on performance of firms listed in Stock Exchange. When there is a good flow of trading stocks, people could expect more financing through
Tarika Singh +2 more
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Liquidity in the repo market [PDF]
Journal of International Money and Finance, 2018 This paper examines liquidity in the Swiss franc repurchase (repo) market and assesses its determinants using a proprietary dataset ranging from 2006 to 2016. I find that repo market liquidity has a distinct intraday pattern, with low liquidity in early and late trading hours.
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The perils of credit booms [PDF]
, 2017 We present a dynamic general equilibrium model of production economies with adverse selection in the financial market to study the interaction between funding liquidity and market liquidity and its impact on business cycles.
Dong, Feng, Miao, Jianjun, Wang, P.
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Liquidity and market incompleteness [PDF]
Annals of Finance, 2007 This note shows that according to Lippman and McCall’s (Am Econ Rev 76, 43–55, 1986) operational definition of liquidity, incomplete markets are a necessary condition for illiquidity.
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