market liquidity

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Measuring Liquidity In Financial Markets

Author : Abdourahmane Sarr
ISBN :
Genre : Capital market
File Size : 81. 19 MB
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This paper provides an overview of indicators that can be used to illustrate and analyze liquidity developments in financial markets. The measures include bid-ask spreads, turnover ratios, and price impact measures. They gauge different aspects of market liquidity, namely tightness (costs), immediacy, depth, breadth, and resiliency. These measures are applied in selected foreign exchange, money, and capital markets to illustrate their operational usefulness. A number of measures must be considered because there is no single theoretically correct and universally accepted measure to determine a market's degree of liquidity and because market-specific factors and peculiarities must be considered.

Market Liquidity

Author : Yakov Amihud
ISBN : 9780521191760
Genre : BUSINESS & ECONOMICS
File Size : 50. 91 MB
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This book explores the effect of liquidity on asset prices, liquidity variations over time and how liquidity risk affects prices.

Market Liquidity Risk

Author : Andria van der Merwe
ISBN : 9781137389237
Genre : Business & Economics
File Size : 25. 75 MB
Format : PDF
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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.

Market Liquidity

Author : Thierry Foucault
ISBN : 9780199324095
Genre : Business & Economics
File Size : 62. 43 MB
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The way in which securities are traded is very different from the idealized picture of a frictionless and self-equilibrating market offered by the typical finance textbook. Market Liquidity offers a more accurate and authoritative take on liquidity and price discovery.

Privatization And Stock Market Liquidity

Author : Bernardo Bortolotti
ISBN : UVA:X004851049
Genre : Business & Economics
File Size : 80. 36 MB
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Stock Market Liquidity

Author : François-Serge Lhabitant
ISBN : 9780470181690
Genre : Business & Economics
File Size : 68. 68 MB
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Market microstructure, the study of financial market frictions at a micro level, helps us refine our understanding of what may be driving market liquidity and provides tools to investors of all stripes to profit from this knowledge. In Stock Market Liquidity, editors and financial experts Francois-Serge Lhabitant and Greg Gregoriou bring together the best minds in the business to address this issue and discuss their thoughts on other innovative topics associated with liquidity in today’s markets.

The Financial Mathematics Of Market Liquidity

Author : Olivier Gueant
ISBN : 9781498725484
Genre : Business & Economics
File Size : 66. 88 MB
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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 approach–and then demonstrates the use of that framework across a wide range of areas. The book introduces the classical tools of optimal execution and market making, along with their practical use. It also demonstrates how the tools used in the optimal execution literature can be used to solve classical and new issues where accounting for liquidity is important. In particular, it presents cutting-edge research on the pricing of block trades, the pricing and hedging of options when liquidity matters, and the management of complex share buy-back contracts. What sets this book apart from others is that it focuses on specific topics that are rarely, or only briefly, tackled in books dealing with market microstructure. It goes far beyond existing books in terms of mathematical modeling–bridging the gap between optimal execution and other fields of Quantitative Finance. The book includes two appendices dedicated to the mathematical notions used throughout the book. Appendix A recalls classical concepts of mathematical economics. Appendix B recalls classical tools of convex analysis and optimization, along with central ideas and results of the calculus of variations. This self-contained book is accessible to anyone with a minimal background in mathematical analysis, dynamic optimization, and stochastic calculus. Covering post-electronification financial markets and liquidity issues for pricing, this book is an ideal resource to help investment banks and asset managers optimize trading strategies and improve overall risk management.

Determinants Of Market Liquidity And Price Efficiency In Financial Markets

Author : Avanidhar Subrahmanyam
ISBN : UCLA:L0061643375
Genre : Financial futures
File Size : 69. 97 MB
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Stock Market Liquidity And The Macroeconomy Evidence From Japan Epub

Author : Woon Gyu Choi
ISBN : 9781451984347
Genre : Business & Economics
File Size : 76. 57 MB
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In a liquid financial market, investors are able to sell large blocks of assets without substantially changing the price. We document a steep drop in the liquidity of the Japanese stock market in the post-bubble period and a steep rise in liquidity risk. We find that, during Japan's deflationary period, firms with more liquid balance sheets were less exposed to stock market liquidity risk, while slowly growing firms were highly exposed to liquidity shocks. Also, aggregate liquidity had macroeconomic effects on aggregate demand through its effect on money demand.

Marking To Market Liquidity And Financial Stability

Author : Guillaume Plantin
ISBN : UCSD:31822030956205
Genre : Accounting and price fluctuations
File Size : 42. 59 MB
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