The article discusses financial market liquidity and its applications to the stock market. It says market liquidity has a time attribute in which investors needs the shortest possible trade time to prevent price reversal risk, has volume in which there must be enough bids to satisfy the needs of...

According to traditional option pricing models, financial markets underestimate the impact of tail risk. In this article, we put forward a European option pricing model based on a set of assumptions that ensure, inter alia, that extreme events are better taken into account. Using simulations, we...

At the beginning of 2004, the Eurosystem implemented several modifications of its operational framework and liquidity management aiming at enhancing market efficiency. The purpose of this article is to study the effects of theses changes in the spread between the Eonia and the minimum bid rate....

En mars 2004, l’Eurosystème a mis en place différentes modifications de son cadre opérationnel et de sa gestion de la liquidité. L’objectif de cet article est d’étudier les effets de ces changements sur le niveau et la volatilité de l’écart entre l’Eonia et le taux de soumission...

According to traditional option pricing models, financial markets underestimate the impact of tail risk. In this article, we put forward a European option pricing model based on a set of assumptions that ensure, inter alia, that extreme events are better taken into account. Using simulations, we...

Based on the concept that the presence of liquidity frictions can increase the daily traded volume, we develop an extended version of the mixture of distribution hypothesis model (MDH) along the lines of Tauchen and Pitts (1983) to measure the liquidity portion of volume. Our approach relies on...

[eng] New investment management techniques and their impact on volatility . The growth of alternative investment has been considerable in recent years. However, the impact on markets or more precisely, on markets volatility, of the new induced management techniques is still not clear. In this...

High frequency transaction prices exhibit two major characteristics: they are discrete in level and only exist at random transaction dates. In this paper, we seek to model transaction price dynamics, taking into account these two features. We specify the transaction price process as a Markov...

[fre] The effect of matching procedures on trades. . The trading systems used on financial markets differ in terms of matching procedures, selected norms to write contracts, existence or not of intermediaries to ensure liquidity, market transparency... We are interested in measuring the direct...

Nous discutons la pertinence de mesurer le risque par les volatilités. Nous appuyant sur les études récentes sur données de cotation et sur la spécificité des produits dérivés, nous proposons des mesures complémentaires de façon à traiter les effets volumes et temps, et à tenir...