We introduce the Budapest Liquidity Measure (BLM) and one of its possible applications in the field of risk management. BLM is a weighted spread measure, it represents the implicit costs of trading, which arise from the fact that actual trading is not executed at the mid-price. Traditional VaR...

The Budapest Liquidity Measure (BLM) was created by the Budapest Stock Exchange (BSE) in 2005 to provide the market with a simple index which assists market participants in making investment decisions by showing how liquid the single securities and the entire market is at the moment. Liquidity...

We show that the design of speculative retail products strongly influences the aggregate exposure of retail investors. Using proprietary data on bank-issued knock-out warrants, we find that individual investors trading these warrants, on aggregate, speculate against the short-term trend of the...

The main focus of our paper is to show how the procyclicality phenomenon on financial markets caused by the central clearing activity, should be incorporated into the initial margin calculation of the central counterparties (CCP), based on the effective regulation in the European Union, the so...

Central counterparties' (CCPs) role is to take over the counterparty risk during trading. To fulfill its role, a CCP needs to operate a multi-level guarantee system that can absorb losses of clearing members' defaults. Our main question is how the size of the guarantee system changes and how the...

When focusing on business performance of a country, industry or an individual firm the performance of companies may be tracked using various measures. By simulating the behaviour of a simple firm, our model underlines that the choice of measurement unit determines what distortions we will face,...

Az árhatásfüggvények azt mutatják meg, hogy egy adott értékű megbízás mekkora relatív árváltozást okoz. Az árhatásfüggvény ismerete a piaci szereplők számára fontos szerepet játszik a jövőben benyújtandó ajánlataikhoz kapcsolódó árhatás előrejelzésében, a...

Our article firstly examines to what extent empirical research confirms the model of decision making based on a stable utility function. To this end, we have summarised the fundamental theoretical correlations relating to risk appetite, then went on to present the main results of behavioural...

During the 2007/2008 global economic crisis, market liquidity became an important issue both on the field of theoretical finance and in practice. In theory market liquidity is usually being modeled with price impact functions. In this study we show how the price impact function can be estimated...