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Price Dynamics in a Markovian Limit Order Market

Cont, Rama; Larrard, Adrien De - HAL - 2010

We propose and study a simple stochastic model for the dynamics of a limit order book, in which arrivals of market order, limit orders and order cancellations are described in terms of a Markovian queueing system. Through its analytical tractability, the model allows to obtain analytical...

Persistent link: https://www.econbiz.de/10008794238

Liquidity Problems in the FX Liquid Market

Borgy, Vladimir; Idier, Julien; Fol, Gaëlle Le - HAL - 2010

immune against any liquidity problem. This paper analyzes on a long sample (2000-2009), the all set of quotes and … transactions in three main currency pairs (EURJPY, EURUSD, USDJPY) on the EBS platform. To characterize the FX market liquidity, we … propose the computation of a new liquidity indicator, BIL, that solely relies on price series availability. The main benefit …

Persistent link: https://www.econbiz.de/10008794876

Price Dynamics in a Markovian Limit Order Market

Cont, Rama; Larrard, Adrien De - HAL - 2013

Persistent link: https://www.econbiz.de/10010631316

Liquidity generated by heterogeneous beliefs and costly estimations

Shen, Min; Turinici, Gabriel - HAL - 2012

We study the liquidity, defined as the size of the trading volume, in a situation where an infinite number of agents …

Persistent link: https://www.econbiz.de/10010548256

Fire Sales Forensics: Measuring Endogenous Risk

Cont, Rama; Wagalath, Lakshithe - HAL - 2012

We propose a tractable framework for quantifying the impact of fire sales on the volatility and correlations of asset returns in a multi-asset setting. Our results enable to quantify the impact of fire sales on the covariance structure of asset returns and provide a quantitative explanation for...

Persistent link: https://www.econbiz.de/10010548433

Liquidity generated by heterogeneous beliefs and costly estimations

Shen, Min; Turinici, Gabriel - HAL - 2012

We study the liquidity, de ned as the size of the trading volume, in a situation where an in nite number of agents with …

Persistent link: https://www.econbiz.de/10010550926

Nominal Uniqueness and Money Non-neutrality in the Limit-Price Exchange Process

Giraud, Gaël; Tsomocos, Dimitrios P. - HAL - 2010

towards Pareto optimal rest-points. Below this growth rate, the economy enters a (sub-optimal) liquidity trap where monetary … policy is ineffective ; above this threshold inflation rises. Finally, market liquidity, measured through the speed of real …

Persistent link: https://www.econbiz.de/10010603678

"Use the financial health of an organization in financial planning."

Tomasik, Paulina - HAL - 2014

A main purpose of our project is to examine the financial condition of 3 chosen companies: a financial institution, a non-profit organizations, as well as the production company. All companies are existing at the Polish market. To make the calculations and tests we used the method of John...

Persistent link: https://www.econbiz.de/10010899327

Ryzyko przedsiębiorstwa wynikające z ekonomicznej kondycji na przykładzie polskich instytucji---Risk of the firm as result of economic health - Polish entities case

Koziarski, Rafal; Brylak, Ewelina; Bułka, Monika - HAL - 2013

W niniejszej pracy, autorzy skoncentrowali się na wyliczeniu oraz analizie wskaźników umożliwiających ocenę kondycji finansowej wybranych przedsiębiorstw oraz jednostki pożytku publicznego. Dane wykorzystywane podczas wyliczeń zaczerpnięto ze sprawozdań finansowych publikowanych przez...

Persistent link: https://www.econbiz.de/10010821153

Optimal order placement in limit order markets

Cont, Rama; Kukanov, Arseniy - HAL - 2012

To execute a trade, participants in electronic equity markets may choose to submit limit orders or market orders across various exchanges where a stock is traded. This decision is influenced by the characteristics of the order flow and queue sizes in each limit order book, as well as the...

Persistent link: https://www.econbiz.de/10010821294