Market Liquidity
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Market Liquidity
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Author : Thierry Foucault
language : en
Publisher: Oxford University Press
Release Date : 2013-04-04
Market Liquidity written by Thierry Foucault and has been published by Oxford University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-04-04 with Business & Economics categories.
This book offers an authorative take on the liquidity of securities markets, its determinants, and its effects. It presents the basic modeling and econometric tools used in market microstructure - the area of finance that studies price formation in securities markets.
Market Liquidity
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Author : Yakov Amihud
language : en
Publisher: Cambridge University Press
Release Date : 2012-11-12
Market Liquidity written by Yakov Amihud and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-11-12 with Business & Economics categories.
This book presents the theory and evidence on the effect of market liquidity and liquidity risk on asset prices and on overall securities market performance. Illiquidity means incurring a high transaction cost, which includes a large price impact when trading and facing a long time to unload a large position. Liquidity risk is higher if a security becomes more illiquid when it needs to be traded in the future, which will raise trading cost. The book shows that higher illiquidity and greater liquidity risk reduce securities prices and raise the expected return that investors require as compensation. Aggregate market liquidity is linked to funding liquidity, which affects the provision of liquidity services. When these become constrained, there is a liquidity crisis which leads to downward price and liquidity spiral. Overall, the volume demonstrates the important role of liquidity in asset pricing.
Stock Market Liquidity
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Author : François-Serge Lhabitant
language : en
Publisher: John Wiley & Sons
Release Date : 2008-01-09
Stock Market Liquidity written by François-Serge Lhabitant and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008-01-09 with Business & Economics categories.
Brings together today's best financial minds across the world to discuss the issue of liquidity in today's markets. It is often proxied by trade-based measures (such as trading volume, frequency of trading, dollar value of shares trade, etc), order based measures and price impact measures.
Liquidity Markets And Trading In Action
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Author : Deniz Ozenbas
language : en
Publisher: Springer Nature
Release Date : 2022
Liquidity Markets And Trading In Action written by Deniz Ozenbas and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2022 with Business enterprises categories.
This open access book addresses four standard business school subjects: microeconomics, macroeconomics, finance and information systems as they relate to trading, liquidity, and market structure. It provides a detailed examination of the impact of trading costs and other impediments of trading that the authors call rictions It also presents an interactive simulation model of equity market trading, TraderEx, that enables students to implement trading decisions in different market scenarios and structures. Addressing these topics shines a bright light on how a real-world financial market operates, and the simulation provides students with an experiential learning opportunity that is informative and fun. Each of the chapters is designed so that it can be used as a stand-alone module in an existing economics, finance, or information science course. Instructor resources such as discussion questions, Powerpoint slides and TraderEx exercises are available online.
Market Liquidity Risk
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Author : Andria van der Merwe
language : en
Publisher: Springer
Release Date : 2016-01-12
Market Liquidity Risk written by Andria van der Merwe and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-01-12 with Business & Economics categories.
Andria van der Merwe provides a thorough guide to the critical tools needed to navigate liquidity markets and value security pricing in the presence of market frictions and information asymmetries. This is essential reading for anyone with a current or future interest in liquidity models, market structures, and trading mechanisms.
The Financial Mathematics Of Market Liquidity
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Author : Olivier Gueant
language : en
Publisher: CRC Press
Release Date : 2016-03-30
The Financial Mathematics Of Market Liquidity written by Olivier Gueant and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-03-30 with Business & Economics categories.
This book is among the first to present the mathematical models most commonly used to solve optimal execution problems and market making problems in finance. The Financial Mathematics of Market Liquidity: From Optimal Execution to Market Making presents a general modeling framework for optimal execution problems-inspired from the Almgren-Chriss app
Limit Order Book Dynamics And Asset Liquidity
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Author : Georg Pristas
language : en
Publisher: Cuvillier Verlag
Release Date : 2008
Limit Order Book Dynamics And Asset Liquidity written by Georg Pristas and has been published by Cuvillier Verlag this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008 with categories.
Fragmenting Markets
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Author : Darrell Duffie
language : en
Publisher: Walter de Gruyter GmbH & Co KG
Release Date : 2022-11-07
Fragmenting Markets written by Darrell Duffie and has been published by Walter de Gruyter GmbH & Co KG this book supported file pdf, txt, epub, kindle and other format this book has been release on 2022-11-07 with Business & Economics categories.
Post-crisis capital regulations and new failure-resolution rules increased the funding costs that are borne by bank shareholders, and thus the cost to buy-side firms for access to space on the balance sheets of large banks. A policy implication is the encouragement of market infrastructure and trading methods that reduce the amount of space on bank balance sheets that is needed to conduct a given amount of trade. Using models and evidence, this book addresses the implications for financial-market liquidity of these regulations for systemically important banks and argues that current rules do not allow for potential levels of market efficiency and financial stability. In this insightful analysis of the impact of regulation on financial market efficiency post-2008, the author argues that bank capital levels could actually be pushed higher while still improving the liquidity of markets for safe assets such as low-risk fixed-income instruments by relaxing the leverage-ratio rule and increasing risk-based capital requirements.
Equity Markets In Action
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Author : Robert A. Schwartz
language : en
Publisher: John Wiley & Sons
Release Date : 2004-10-06
Equity Markets In Action written by Robert A. Schwartz and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004-10-06 with Business & Economics categories.
An in-depth look at the nature of market making and exchanges From theory to practicalities, this is a comprehensive, up-to-date handbook and reference on how markets work and the nuances of trading. It includes a CD with an interactive trading simulation. Robert A. Schwartz, PhD (New York, NY), is Marvin M. Speiser Professor of Finance and University Distinguished Professor in the Zicklin School of Business, Baruch College, CUNY. Reto Francioni, PhD (Zurich, Switzerland), is President and Chairman of the Board of SWX, the Swiss Stock Exchange, and former co-CEO of Consors Discount Broker AG, Nuremberg.
Liquidity And Asset Prices
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Author : Yakov Amihud
language : en
Publisher: Now Publishers Inc
Release Date : 2006
Liquidity And Asset Prices written by Yakov Amihud and has been published by Now Publishers Inc this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006 with Business & Economics categories.
Liquidity and Asset Prices reviews the literature that studies the relationship between liquidity and asset prices. The authors review the theoretical literature that predicts how liquidity affects a security's required return and discuss the empirical connection between the two. Liquidity and Asset Prices surveys the theory of liquidity-based asset pricing followed by the empirical evidence. The theory section proceeds from basic models with exogenous holding periods to those that incorporate additional elements of risk and endogenous holding periods. The empirical section reviews the evidence on the liquidity premium for stocks, bonds, and other financial assets.