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Algorithmic Trading for Online Portfolio Selection Under Limited Market Liquidity
Ha, Youngmin - 2020
-traded stocks show the superiority of the proposed trading algorithm in an environment of limited market liquidity …
Persistent link: https://www.econbiz.de/10012852180
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Estimating the investment value of an asset's liquidity
Kozyr, Yuriy V. - In: Inventi impact: emerging economies (2015) 1, pp. 23-29
Persistent link: https://www.econbiz.de/10010513981
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Markets liquidity risk under extremal dependence : analysis with VaRs methods
Ourir, Awatef; Snoussi, Wafa - In: Economic modelling 29 (2012) 5, pp. 1830-1836
Persistent link: https://www.econbiz.de/10009667092
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Fixed income market liquidity
Beau, Denis (contributor) - Bank für Internationalen Zahlungsausgleich / Committee … - 2016
Persistent link: https://www.econbiz.de/10011490302
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The impact of systemic and illiquidity risk on financing with risky collateral
Lillo, Fabrizio; Pirino, Davide - In: Journal of economic dynamics & control 50 (2015), pp. 180-202
Persistent link: https://www.econbiz.de/10010486947
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Stock returns with consumption and illiquidity risks
Márquez De la Cruz, Elena; Nieto, Belén; Rubio, Gonzalo - In: International review of economics & finance : IREF 29 (2014), pp. 57-74
Persistent link: https://www.econbiz.de/10010431504
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Liquidity commonality in commodities
Marshall, Ben R.; Nguyen, Nhut H.; Visaltanachoti, Nuttawat - In: Journal of banking & finance 37 (2013) 1, pp. 11-20
Persistent link: https://www.econbiz.de/10009675559
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New insights on asset pricing and illiquidity
Buchner, Axel - In: Operations research proceedings 2010 : selected papers …, (pp. 93-98). 2011
Persistent link: https://www.econbiz.de/10009270878
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Hedging-Induced Correlation in Illiquid Markets
Brøgger, Søren Bundgaard - 2020
I develop a model with two assets in which the hedging activity of derivatives dealers, interacting with market illiquidity, distorts the covariance structure of the market. I apply the model to hedging of counter party risk, and find strong support for the model's key predictions. Using...
Persistent link: https://www.econbiz.de/10012834282
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Liquidity Risk?
Pontiff, Jeffrey - 2019
We revisit the role of liquidity risk. We successfully replicate Pastor and Stambaugh's (2003) gamma liquidity risk … compensation for liquidity risk. We create five alternative liquidity risk indices from various popular liquidity proxies. Using …
Persistent link: https://www.econbiz.de/10012894394