liquidity in terms of spread, depth, order imbalance, dispersion and slope. We also consider trading activity and volatility …In this paper, we determine whether intraday price dynamics observed on Euronext help characterize market liquidity in … measures. Based on an event study methodology, we find that particular HLOC configurations are associated with higher liquidity …

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 …

idiosyncratic information behind trading decisions. Particularly effective with investment-grade bonds, the proposed measure … equity volatility with high-frequency measures, liquidity costs explain a substantial fraction of the variation in the yield …I propose a friction measure of bond round-trip liquidity costs that is robust to outliers and accounts for the …

share volatility risk that illiquidity and virtually all impediments to trade cannot be priced. This is because the buying …-Bills and equity securities, to show that market volatility is systematically priced. Moreover, only in the presence of binding …

increase volatility in order to exploit the implicit protection. However, if they increase volatility too much they may induce … that it allows high volatility choices, while net worth is high. However, risk limits tighten abruptly when the firm's net …

Presentation on the ambivalent role of liquidity in economic stability. A model of speculation, volatility dynamics and … liquidity is developed. A natural explanation of extreme randomness is offered. It is shown that news driven expectations imply … clustered volatility …

market and liquidity risks to the point it could be larger than the actual portfolio value. Put VaR – PVaR – as well as Put … Shortfall – PSF – uses option theory to solve the problem that, under any circumstance, the risk amount is never greater than … Hi,t. A formula is derived to estimate a horizon-Ĥ necessary to measure analytic VaRs. Liquidity haircut-Li are …

Market liquidity is a latent and dynamic variable. Building on Cont et al. (2014), we propose a dynamical price impact …

volatility models. Our approach allows the isolation of the intrisic liquidity of any asset, and thus makes it possible to deduce …Until recently the liquidity of financial assets has typically been viewed as a second-order consideration. Liquidity … shocks could be easily diversified away. Yet the evidence- especially the recent liquidity crisis- suggests that liquidity is …

question, focusing on liquidity constraints and uninsurable idiosyncratic risk. We consider a search model where agents use … reserves and the response of the economy tends to be larger. In this case, agents expect to be liquidity constrained and, due …