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Liquidity generated by heterogeneous beliefs and costly estimations

Shen, Min; Turinici, Gabriel - HAL - 2012

We study the liquidity, defined as the size of the trading volume, in a situation where an infinite number of agents …

Persistent link: https://www.econbiz.de/10010548256

Fire Sales Forensics: Measuring Endogenous Risk

Cont, Rama; Wagalath, Lakshithe - HAL - 2012

We propose a tractable framework for quantifying the impact of fire sales on the volatility and correlations of asset returns in a multi-asset setting. Our results enable to quantify the impact of fire sales on the covariance structure of asset returns and provide a quantitative explanation for...

Persistent link: https://www.econbiz.de/10010548433

Liquidity generated by heterogeneous beliefs and costly estimations

Shen, Min; Turinici, Gabriel - HAL - 2012

We study the liquidity, de ned as the size of the trading volume, in a situation where an in nite number of agents with …

Persistent link: https://www.econbiz.de/10010550926

Liquidity, risk and occupational choices

Bianchi, Milo; Bobba, Matteo - HAL - 2010

model to highlight how liquidity and insurance constraints respond differently to the time profile of expected cash …-entrepreneurship by enhancing the willingness to bear risk. …

Persistent link: https://www.econbiz.de/10010738986

Nominal Uniqueness and Money Non-neutrality in the Limit-Price Exchange Process

Giraud, Gaël; Tsomocos, Dimitrios P. - HAL - 2010

towards Pareto optimal rest-points. Below this growth rate, the economy enters a (sub-optimal) liquidity trap where monetary … policy is ineffective ; above this threshold inflation rises. Finally, market liquidity, measured through the speed of real …

Persistent link: https://www.econbiz.de/10010603678

Price Dynamics in a Markovian Limit Order Market

Cont, Rama; Larrard, Adrien De - HAL - 2013

We propose and study a simple stochastic model for the dynamics of a limit order book, in which arrivals of market order, limit orders and order cancellations are described in terms of a Markovian queueing system. Through its analytical tractability, the model allows to obtain analytical...

Persistent link: https://www.econbiz.de/10010631316

Ryzyko przedsiębiorstwa wynikające z ekonomicznej kondycji na przykładzie polskich instytucji---Risk of the firm as result of economic health - Polish entities case

Koziarski, Rafal; Brylak, Ewelina; Bułka, Monika - HAL - 2013

W niniejszej pracy, autorzy skoncentrowali się na wyliczeniu oraz analizie wskaźników umożliwiających ocenę kondycji finansowej wybranych przedsiębiorstw oraz jednostki pożytku publicznego. Dane wykorzystywane podczas wyliczeń zaczerpnięto ze sprawozdań finansowych publikowanych przez...

Persistent link: https://www.econbiz.de/10010821153

Optimal order placement in limit order markets

Cont, Rama; Kukanov, Arseniy - HAL - 2012

To execute a trade, participants in electronic equity markets may choose to submit limit orders or market orders across various exchanges where a stock is traded. This decision is influenced by the characteristics of the order flow and queue sizes in each limit order book, as well as the...

Persistent link: https://www.econbiz.de/10010821294

Estimating the Proportion of Informed Trade in Call Auctions

Raposo, Juan; Riva, Fabrice; Sogorb, Francisco; Bommel, … - HAL - 2011

trade. If most liquidity demanders are uninformed, there is likely to be significant wash trade among them, resulting in … Normal-like volume distributions. If most liquidity demanders are informed, their trades are correlated so that the volume …

Persistent link: https://www.econbiz.de/10010821472

L'effet de levier de trésorerie

Juhel, Jean-Claude - HAL - 2008

The effect of leverage on liquidity is a tool for analysing the level of liquidity for a given production process. It … measures the sensitivity of the level of liquidity that results from changes in the volume of production and unit operating … flows from production influence liquidity levels. The estimated costs do not directly influence the level of liquidity …

Persistent link: https://www.econbiz.de/10008789411