Negrea, Bogdan - In: Theoretical and Applied Economics 12(517)(supplement) (2008) 12(517)(supplement), pp. 24-30
This paper proposes a new method based on stochastic calculus in order to analyze the liquidity on the market governed by orders in the presence of the informed agents. The paper proposes a new formula in order to compute the market liquidity. This analytical formula is obtained from the options...