Durand, Philippe; Gündüz, Yalin; Thomazeau, Isabelle - Deutsche Bundesbank - 2012
-sized transactions, from endogenous liquidity, which we interpret as the impact of liquidity on market prices when liquidating larger … positions. Endogenous liquidity measures the risk that the realized price of a transaction may be different from the price … before the transaction. We apply an endogenous liquidity-based model to order books and credit default swap (CDS …