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Market liquidity and flow-driven risk

Deuskar, Prachi; Johnson, Tim - In: The review of financial studies 24 (2011) 3, pp. 721-753

Persistent link: https://www.econbiz.de/10008934104

Funding liquidity and market liquidity in government bonds

Deuskar, Prachi; Johnson, Tim - In: Journal of banking & finance 129 (2021), pp. 1-16

Persistent link: https://www.econbiz.de/10012822064

Liquid capital and market liquidity

Johnson, Tim - In: The economic journal : the journal of the Royal … 119 (2009), pp. 1374-1404

Persistent link: https://www.econbiz.de/10003885301

Volume, liquidity, and liquidity risk

Johnson, Tim - In: Journal of financial economics 87 (2008) 2, pp. 388-417

Persistent link: https://www.econbiz.de/10003629061

Liquidity effect in OTC options markets : premium or discount?

Deuskar, Prachi; Gupta, Anurag; Subrahmanyam, Marti G. - In: Journal of financial markets 14 (2011) 1, pp. 127-160

Persistent link: https://www.econbiz.de/10009267085

Day Traders, Noise, and Cost of Immediacy

Dalvi, Manoj; Deuskar, Prachi; Glosten, Lawrence R.; … - National Bureau of Economic Research - 2023

We identify different roles traders play using data with trader identities for all transactions in SENSEX-index stocks on the Bombay Stock Exchange from January 2005 to December 2011. Individual day traders (IDT) are identified as "noise traders", who play an important role in the market...

Persistent link: https://www.econbiz.de/10014250145

Day Traders, Noise, and Cost of Immediacy

Dalvi, Manoj; Deuskar, Prachi; Glosten, Lawrence R.; … - 2023

Using data with trader identities for all transactions in SENSEX-index stocks on the Bombay Stock Exchange over seven years, we identify individual day traders (IDT) to be “noise traders”, who play an important role in market microstructure models in the literature.IDT contribute 10% to...

Persistent link: https://www.econbiz.de/10014355549