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  • Search: subject:"Inventory Risk"
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Year of publication
Subject
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inventory risk 9 CDS 4 asymmetric information 4 frictions 4 market power 4 Volatility 3 stochastic control 3 Intermediary 2 Inventory Risk 2 Liquidity 2 Market making 2 Volatilität 2 immediacy 2 limit order book 2 overnight returns 2 volatility risk 2 Asymmetric information 1 Asymmetrische Information 1 Börsenkurs 1 Capital income 1 Capital market returns 1 Credit derivative 1 Financial market 1 Finanzintermediär 1 Finanzmarkt 1 Hamilton-Jacobi-Bellman 1 Kapitaleinkommen 1 Kapitalmarktrendite 1 Kreditderivat 1 Market power 1 Marktliquidität 1 Marktmacht 1 PnL distribution 1 Quantitative Finance 1 Risiko 1 Risikoaversion 1 Risikomanagement 1 Risikoprämie 1 Risk 1 Risk management 1
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Online availability
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Free 11
Type of publication
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Book / Working Paper 11
Type of publication (narrower categories)
All
Working Paper 5 Arbeitspapier 2 Graue Literatur 2 Non-commercial literature 2
Language
All
English 7 Undetermined 4
Author
All
Nasev, Julia 4 Gündüz, Yalin 3 Trapp, Monika 3 Boyarchenko, Nina 2 Guilbaud, Fabien 2 Hendershott, Terrence 2 Larsen, Lars C. 2 Menkveld, Albert J. 2 Whelan, Paul 2 Fodra, Pietro 1 Gehde-Trapp, Monika 1 Gündüz, Yalın 1 Labadie, Mauricio 1 Pham, Huyen 1 Pham, Huyên 1
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Institution
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HAL 3 Center for Financial Studies 1 Deutsche Bundesbank 1 Institut für Finanzmarktforschung, Wirtschafts- und Sozialwissenschaftliche Fakultät 1
Published in...
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Working Papers / HAL 3 Bundesbank Discussion Paper 1 CFR Working Papers 1 CFS Working Paper 1 CFS Working Paper Series 1 Discussion Papers / Deutsche Bundesbank 1 Discussion paper 1 Staff Reports 1 Staff reports / Federal Reserve Bank of New York 1
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Source
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RePEc 6 EconStor 3 ECONIS (ZBW) 2
Showing 1 - 10 of 11
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The overnight drift
Boyarchenko, Nina; Larsen, Lars C.; Whelan, Paul - 2021
predictions from dealer inventory risk models, we find (1) a strong negative link to end-of-day order imbalance; (2) reversals are …
Persistent link: https://www.econbiz.de/10012619494
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The overnight drift
Boyarchenko, Nina; Larsen, Lars C.; Whelan, Paul - 2021 - Revised September 2021
predictions from dealer inventory risk models, we find (1) a strong negative link to end-of-day order imbalance; (2) reversals are …
Persistent link: https://www.econbiz.de/10012170744
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The price impact of CDS trading
Gündüz, Yalin; Nasev, Julia; Trapp, Monika - 2013
traders adjust the premium more for transactions with higher inventory risk. Third, trading with buy-side investors who …
Persistent link: https://www.econbiz.de/10010313126
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The price impact of CDS trading
Gündüz, Yalin; Nasev, Julia; Trapp, Monika - Deutsche Bundesbank - 2013
traders adjust the premium more for transactions with higher inventory risk. Third, trading with buy-side investors who …
Persistent link: https://www.econbiz.de/10010984735
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The price impact of CDS trading
Gündüz, Yalin; Nasev, Julia; Trapp, Monika - Institut für Finanzmarktforschung, Wirtschafts- und … - 2013
trader adjusts the premium more for transactions with higher inventory risk. Third, we show that the trader adjusts the …
Persistent link: https://www.econbiz.de/10010984853
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The price impact of CDS trading
Gündüz, Yalın; Nasev, Julia; Gehde-Trapp, Monika - 2013
traders adjust the premium more for transactions with higher inventory risk. Third, trading with buy-side investors who …
Persistent link: https://www.econbiz.de/10009751104
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High-frequency market-making with inventory constraints and directional bets
Fodra, Pietro; Labadie, Mauricio - HAL - 2012
utility functions, and we add an inventory-risk-aversion parameter that penalises the marker-maker if she finishes her day … trends whilst keeping under control her inventory risk. With this inventory-risk-aversion parameter, the market-maker has not … only direct control on her inventory risk but she also has indirect control on the moments of her PnL distribution …
Persistent link: https://www.econbiz.de/10009652118
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Optimal High Frequency Trading in a Pro-Rata Microstructure with Predictive Information
Guilbaud, Fabien; Pham, Huyên - HAL - 2012
We propose a framework to study optimal trading policies in a one-tick pro-rata limit order book, as typically arises in short-term interest rate futures contracts. The high-frequency trader has the choice to trade via market orders or limit orders, which are represented respectively by impulse...
Persistent link: https://www.econbiz.de/10010548432
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Optimal High Frequency Trading with limit and market orders
Guilbaud, Fabien; Pham, Huyen - HAL - 2011
We propose a framework for studying optimal market making policies in a limit order book (LOB). The bid-ask spread of the LOB is modelled by a Markov chain with finite values, multiple of the tick size, and subordinated by the Poisson process of the tick-time clock. We consider a small agent who...
Persistent link: https://www.econbiz.de/10009147925
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Price pressures
Hendershott, Terrence; Menkveld, Albert J. - 2010
We study price pressures in stock prices-price deviations from fundamental value due to a risk-averse intermediary supplying liquidity to asynchronously arriving investors. Empirically, twelve years of daily New York Stock Exchange intermediary data reveal economically large price pressures. A...
Persistent link: https://www.econbiz.de/10010303739
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