During the 2007/2008 global economic crisis, market liquidity became an important issue both on the field of theoretical finance and in practice. In theory market liquidity is usually being modeled with price impact functions. In this study we show how the price impact function can be estimated...

We examine the dynamics of the limit order book recovery in the purely order-driven markets. The configuration of the current limit placements in the order book determines the costs over the mid-quote for the buy and sell trades. By analyzing the relationship between the costs of the possible...

When focusing on business performance of a country, industry or an individual firm the performance of companies may be tracked using various measures. By simulating the behaviour of a simple firm, our model underlines that the choice of measurement unit determines what distortions we will face,...

Central counterparties' (CCPs) role is to take over the counterparty risk during trading. To fulfill its role, a CCP needs to operate a multi-level guarantee system that can absorb losses of clearing members' defaults. Our main question is how the size of the guarantee system changes and how the...

We demonstrate that margin requirements of central counterparties show a significantly different behavior when calculated with a portfoliowise treatment instead of taking the weighted sum of the margin requirements of the components without accounting for their correlation structures. This is...

Clearinghouses and central counterparties have become the backbone of financial markets by stepping between trades, facilitating securities trading, and derivative transactions on exchanges and overthe-counter markets. In the literature and in practice, too, the notion of clearinghouse and...

Purpose: The purpose of this paper is to investigate the possibility of monitoring stress on stock markets from the perspective of a central counterparty (CCP). Due to their balanced positions, CCPs are exposed to extreme price movements in both directions; thus, the major risk for them derives...

Through their clearing and settlement activity, central counterparties (CCP) ensure the stability of the financial system. They operate a multilevel guarantee system containing the initial margin requirements, the default fund contributions, and their own contribution, referred to as...

The 38th ECMS conference (ECMS International Conference on Modelling and Simulation) took place between June 4th and 7th, 2024, in Krakow, a historic city in Poland. This annual conference is interdisciplinary in nature, with the Finance, Economics, and Social Sciences (FES) section being hosted...

The crisis that unfolded in 2007/2008 turned the attention of the financial world toward liquidity, the lack of which caused substantial losses. As a result, the need arose for the traditional financial models to be extended with liquidity. Our goal is to discover how Hungarian market players...