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Does Anonymity Matter in Electronic Limit Order Markets?

Foucault, Thierry; Moinas, Sophie; Theissen, Erik - Volkswirtschaftliche Fakultät, … - 2004

Lecture on the first SFB/TR 15 meeting, Gummersbach, July, 18 - 20, 2004We develop a model of limit order trading in which some traders have better information on future price volatility. As limit orders have option-like features, this information is valuable for limit order traders. We solve...

Persistent link: https://www.econbiz.de/10005248997

Optimal Portfolio Liquidation for CARA Investors

Schied, Alexander; Schöneborn, Torsten - Volkswirtschaftliche Fakultät, … - 2007

We consider the finite-time optimal portfolio liquidation problem for a von Neumann-Morgenstern investor with constant absolute risk aversion (CARA). As underlying market impact model, we use the continuous-time liquidity model of Almgren and Chriss (2000). We show that the expected utility of...

Persistent link: https://www.econbiz.de/10005835745

Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets

Schied, Alexander; Schoeneborn, Torsten - Volkswirtschaftliche Fakultät, … - 2008

We consider the infinite-horizon optimal portfolio liquidation problem for a von Neumann-Morgenstern investor in the liquidity model of Almgren (2003). Using a stochastic control approach, we characterize the value function and the optimal strategy as classical solutions of nonlinear parabolic...

Persistent link: https://www.econbiz.de/10005623263

Collateral Optimization : Liquidity & Funding Value Adjustments, - Best Practices -

Genest, Benoit; Rego, David; Freon, Helene - Volkswirtschaftliche Fakultät, … - 2013

collateralization highly impact collateral management through the increase in haircuts and funding of good-quality collateral. As a … Management”. - This implies banks have to capitalize on their valuation functions to boost profitability of the net collateral …/FVA). • Regarding Management of Non-Cash Collateral, banks should focus on - Optimization of the cash-circuit to manage the various …

Persistent link: https://www.econbiz.de/10011201776

Economic Factors Influencing Corporate Capital Structure in Three Asian Countries: Evidence from Japan, Malaysia and Pakistan

Mahmud, Muhammad; Herani, Gobind M.; Rajar, A.W.; … - Volkswirtschaftliche Fakultät, … - 2009

This study is an attempt to determine the factors that influence a firm’s choice of capital structure in three Asian countries: Japan, Malaysia and Pakistan. The specific objective is to investigate if country’s economic factors play a significant role in determining capital structure...

Persistent link: https://www.econbiz.de/10004961530

Liquidation in the Face of Adversity: Stealth Vs. Sunshine Trading, Predatory Trading Vs. Liquidity Provision

Schoeneborn, Torsten; Schied, Alexander - Volkswirtschaftliche Fakultät, … - 2007

We consider a multi-player situation in an illiquid market in which one player tries to liquidate a large portfolio in a short time span, while some competitors know of the seller's intention and try to make a pro¯t by trading in this market over a longer time horizon. We show that the...

Persistent link: https://www.econbiz.de/10005616623

Non-default Component of Sovereign Emerging Market Yield Spreads and its Determinants: Evidence from Credit Default Swap Market

Kucuk, Ugur N. - Volkswirtschaftliche Fakultät, … - 2010

quality is bad. The author studies the effects of bond liquidity, liquidity in the CDS market, equity market performance, and …

Persistent link: https://www.econbiz.de/10008764702

Liquidity and Asset Prices

Amihud, Yakov; Mendelson, Haim; Pedersen, Lasse Heje - Volkswirtschaftliche Fakultät, … - 2005

We review the theories on how liquidity affects the required returns of capital assets and the empirical studies that test these theories. The theory predicts that both the level of liquidity and liquidity risk are priced, and empirical studies find the effects of liquidity on asset prices to be...

Persistent link: https://www.econbiz.de/10008645110

An Empirical Investigation of Liquidity and Stock Returns Relationship in Vietnam Stock Markets during Financial Crisis

Vo, Xuan Vinh; Batten, Jonathan - Volkswirtschaftliche Fakultät, … - 2010

This paper investigates the relationship between liquidity and stock returns in the Vietnam stock market during financial crisis using a data set ranging from 2006 to 2010. Employing a rich and detailed dataset of characteristics of firm listed in Ho Chi Minh City Stock Exchange, the results...

Persistent link: https://www.econbiz.de/10008876862

Liquidity-Induced Dynamics in Futures Markets

Fagan, Stephen; Gencay, Ramazan - Volkswirtschaftliche Fakultät, … - 2008

Futures contracts on the New York Mercantile Exchange are the most liquid instruments for trading crude oil, which is the world’s most actively traded physical commodity. Under normal market conditions, traders can easily find counterparties for their trades, resulting in an efficient market...

Persistent link: https://www.econbiz.de/10005786918