This paper proposes a new framework for the calculation of liquidity adjusted value at risk, or LVaR. The model presented in this paper is extended from Almgren and Chriss's mean-variance optimal trading approach (1999 and 2000). Contrary to Almgren and Chriss's model, we express price...

We examine the distribution characteristics of stock market liquidity by employing the generalized additive models for location, scale and shape (GAMLSS) model and three-minute frequency data from Chinese stock markets. We find that the BCPE distribution within the GAMLSS framework fits the...

This paper investigates the determinants of liquidity by utilizing the Graphical Reversible-Jump-MCMC algorithm (G-RJMCMC-VS) of Lunn et al. (2009) and employing the data of individual stocks sorted by scale from Shanghai Stock Exchange and Shenzhen Stock Exchange in China. The empirical results...

For companies to take full advantage of the potential offered by the Web, it is essential that their e-commerce websites be prepared and organized in highly usable manner. Companies with better website quality will save time and money, promote customer satisfaction and continued business, and...

This paper discusses the capital budgeting problem of projects using annual cash inflows, cash outflows and initial investment outlays given by experts’ evaluations when no historical data are available. Uncertain variables are used to describe the projects’ parameters. A profit risk index...