Market Liquidity: An Introduction for Practitioners

This working paper surveys theoretical and empirical work about market liquidityand market liquidity risk. It addresses interested practitioners as well asstudents who want to gain a quick overview about the latest progress in researchin market liquidity.

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Year of publication:	2009-08-04
Authors:	Schmaltz, Christian ; Schäffler, Christian
Institutions:	Frankfurt School of Finance & Management
Subject:	Portfolio Selection \| Marktmechanismus \| Liquiditätsrisiko \| Liquidität

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1 Introduction
2 Market Liquidity Models
2.1 Overview
2.2 Inventory Risk
2.3 Inventory Cost
2.4 Information Asymmetries
2.5 Trading Options
2.6 Funding Constraints
2.7 Predatory Trading
2.8 Productivity
2.9 Self-fullling Beliefs
3 Empirical Evidence of Market Liquidity
3.1 Overview
3.2 Measures of Market Liquidity
3.3 Characteristics of Market Liquidity
3.4 Pricing of Market Liquidity Risk
4 Conclusion
References

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