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Does anonymity matter in electronic limit order markets ?

Thierry, FOUCAULT; Sophie, MOINAS; Erik, THEISSEN - HEC Paris (École des Hautes Études Commerciales) - 2003

We analyze the effect of concealing limit order traders’ identities on market liquidity. We develop a model in which limit order traders have asymmetric information on the cost of limit order trading (which is determined by the exposure to informed trading). A thin limit order book signals to...

Persistent link: https://www.econbiz.de/10005011558

Illiquidité, contagion et risque systémique

Dudek, Jérémy - Université Paris-Dauphine (Paris IX) - 2013

The aim of this thesis is to improve the management of financial risks through the employment of econometric methods … effects that market liquidity risks encounter. This procedure can be useful to provide a better management of the liquidity …

Persistent link: https://www.econbiz.de/10011074619

Toxic Arbitrage

Foucault, Thierry; Kozhan, Roman - HEC Paris (École des Hautes Études Commerciales) - 2014

High frequency arbitrage opportunities arise when the price of one asset follows, with a lag, changes in the value of … risk of being picked off by arbitrageurs. Hence, more frequent toxic arbitrage opportunities and a faster arbitrageurs … triangular arbitrage opportunities in the FX market. In their sample, a 1% increase in the likelihood that a toxic arbitrage …

Persistent link: https://www.econbiz.de/10011147709

Reconsidering asset allocation involving illiquid assets

Teiletche, Jérôme; Cao, Dan - Université Paris-Dauphine (Paris IX) - 2007

Alternative assets are gaining increasing importance in investors' portfolios. One of their defining characteristic is their poor liquidity, which often translates into an inherent smoothing process of the returns. For asset allocation purposes, this feature has to be seriously addressed as it...

Persistent link: https://www.econbiz.de/10010706658

The impact of unconventional monetary policy on the market for collateral: The case of the French bond market

Avouyi-Dovi, Sanvi; Idier, Julien - Université Paris-Dauphine (Paris IX) - 2012

We consider the channel consisting in transferring the credit risk associated with refinancing operations between financial institutions to market participants. In particular, we analyze liquidity and volatility premia on the French government debt securities market, since these assets are used...

Persistent link: https://www.econbiz.de/10010706618

Direct and Indirect Effects of Index ETFs on Spot-Futures Pricing and Liquidity : Evidence from the CAC 40 Index

Gresse, Carole; Deville, Laurent; De Séverac, Béatrice - Université Paris-Dauphine (Paris IX) - 2014

shares being used in arbitrage trades or by the indirect effect of ETF trading improving the liquidity of index stocks in the …

Persistent link: https://www.econbiz.de/10010799319

Analyse et mesure du risque systémique

Héam, Jean-Cyprien - Université Paris-Dauphine (Paris IX) - 2015

This thesis contributes to the analysis and measure of systemic risk through four chapters. In the first chapter, we discuss the notion of systemic risk and detail the methodological issues of modeling. The second chapter proposes a structural model of solvency contagion. Within an equilibrium...

Persistent link: https://www.econbiz.de/10011265545

Modelling the liquidity ratio as macroprudential instrument

End, Jan Willem van den; Kruidhof, Mark - de Nederlandsche Bank - 2012

The Basel 3 Liquidity Coverage Ratio (LCR) is a micro prudential instrument to strengthen the liquidity position of banks. However if in extreme scenarios the LCR becomes a binding constraint, the interaction of bank behaviour with the regulatory rule can have negative externalities. We simulate...

Persistent link: https://www.econbiz.de/10010543516

Liquidity Regulation, Funding Costs and Corporate Lending

Bonner, Clemens - de Nederlandsche Bank - 2012

This paper analyzes the impact of a liquidity requirement similar to the Basel 3 Liquidity Coverage Ratio (LCR) on banks' funding costs and corporate lending rates. Using a dataset of 26 Dutch banks from January 2008 to December 2011, I find that banks which are just above/below their...

Persistent link: https://www.econbiz.de/10010757277

Banks' Liquidity Buffers and the Role of Liquidity Regulation

Bonner, Clemens; Lelyveld, Iman van; Zymek, Robert - de Nederlandsche Bank - 2013

banks' liquidity risk management. Our main question is whether the presence of liquidity regulation substitutes or …

Persistent link: https://www.econbiz.de/10010757282