and low prices which may be an important tool for short term traders and incorporated in volatility estimation, Also, the …

We study the problem of optimally liquidating a financial position in a discrete-time model with stochastic volatility … and liquidity. We consider the three cases where the objective is to minimize the expectation, an expected exponential and … by a forward-backward system of stochastic equations depending on conditional expectations of future liquidity. In the …

liquid instrument suffers from liquidity shocks that induce periods of increased volatility and significant return … their historical limits, counterparties for trades become scarce and prices must adjust to induce trade. These liquidity …

I use Forex trading data to study how risks associated with the lack of liquidity contribute to the dynamics of 17 spot … exchange rates through their time-varying contributions to risk premia. I find that liquidity risk matters. All the foreign … exchange risk premia compensate investors for exposure to liquidity risk; and, for many currencies, exposure to liquidity risk …

absolute, volume of orders over volatility. To this end, we propose a new measure, relative liquidity, which accounts for how … liquidity provision farther away from the best quotes, relative to the rest of the book, is associated with a disagreement on … the current price and followed by high volatility. The relationship is robust to the inclusion of several alternative …