liquidity. Pushing up prices at the traditional venue while selling in the dark pool might generate profits. If future returns … depend on historical dark pool liquidity, then sending orders to the dark pool can be worthwhile simply to gather information …

GLOBAL FINANCE LIQUIDITY RISK REVISITED: Development of A Framework for Liquidity Assessment in Portfolio Construction … Liquidity Risk Revisited: JP Morgan Alternative Assets Portfolio Liquidity Assessment Framework & Models: $500 Billion Fund of … current relevance and interest in the ongoing state of Global Financial Markets wherein Liquidity Risk is playing a central …

GLOBAL FINANCE LIQUIDITY RISK REVISITED: JP Morgan Alternative Assets Portfolio Liquidity Assessment Framework & Models … & Portfolio Managers JP Morgan Portfolio Liquidity Assessment Framework & ModelsPortfolio Assets Modeled: 17 Asset Classes: Hedge … Guided Teams of Quants, Portfolio Managers and Managing Directors: Built Liquidity Risk Modeling System for Deployment by the …

. Tractability of the model allows us to derive natural proxies for important measures of market liquidity such as trade volume … alleviation of search frictions in one market may lead to opposite observations regarding liquidity in other markets depending on … which liquidity measure is used. For example, a reduction of search frictions in one market decreases trade volume in other …

deterioration of market liquidity (market depth). However, the work by Acerbi and Scandolo (Quantitative Finance, 2008, 8(7), 681 …) highlighted, in addition, the key role that the liquidity policies of the fund can have on the fund value. Funds with the … identical positions but differing liquidity policies have different values. In this paper, we describe and analyze, the …

. We extend the classical optimal execution results by considering stochastic exogenous liquidity effects as well as … liquidity and volatility effects and nonlinear temporary market impact. Moreover, we allow for an additional stochastic … exogenous liquidity effect, used to capture the base illiquidity of a market. We analyze various aspects of our model using a …