AN ANALYSIS OF THE SUPPLY CURVE FOR LIQUIDITY RISK THROUGH BOOK DATA

We use order book data combined with tick data to analyze the supply curve models of liquidity issues in stock and option market trading. We show that supply curves really exist, and further that for highly liquid stocks they are linear. For slightly less liquid stocks the supply curve tends to be jump linear.

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Year of publication:	2010
Authors:	BLAIS, MARCEL ; PROTTER, PHILIP
Published in:	International Journal of Theoretical and Applied Finance (IJTAF). - World Scientific Publishing Co. Pte. Ltd., ISSN 1793-6322. - Vol. 13.2010, 06, p. 821-838
Publisher:	World Scientific Publishing Co. Pte. Ltd.
Subject:	Liquidity risk \| supply curve \| hedging risk \| semimartingale \| arbitrage \| option

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Extent:	application/pdf text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

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