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RESILIENT PRICE IMPACT OF TRADING AND THE COST OF ILLIQUIDITY
ROCH, ALEXANDRE; SONER, H. METE - In: International Journal of Theoretical and Applied … 16 (2013) 06, pp. 1350037-1
We construct a model for liquidity risk and price impacts in a limit order book setting with depth, resilience and tightness. We derive a wealth equation and a characterization of illiquidity costs. We show that we can separate liquidity costs due to depth and resilience from those related to...
Persistent link: https://www.econbiz.de/10011011261
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Liquidity risk, price impacts and the replication problem
Roch, Alexandre - In: Finance and Stochastics 15 (2011) 3, pp. 399-419
Persistent link: https://www.econbiz.de/10009324935
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Introduction to the series
Brunner, K.; Meltzer, A. H. - In: Carnegie-Rochester Conference Series on Public Policy 26 (1987) 1
Persistent link: https://www.econbiz.de/10005429636
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Introduction to the series
Brunner, K.; Meltzer, A. H. - In: Carnegie-Rochester Conference Series on Public Policy 6 (1977) 1
Persistent link: https://www.econbiz.de/10005430666
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Introduction to the series
Brunner, K.; Meltzer, A. H. - In: Carnegie-Rochester Conference Series on Public Policy 18 (1983) 1
Persistent link: https://www.econbiz.de/10005430728
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Introduction to the series
Brunner, K.; Meltzer, A. H. - In: Carnegie-Rochester Conference Series on Public Policy 20 (1984) 1
Persistent link: https://www.econbiz.de/10005430780
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Introduction to the series
Brunner, K.; Meltzer, A. H. - In: Carnegie-Rochester Conference Series on Public Policy 22 (1985) 1
Persistent link: https://www.econbiz.de/10005430790
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Introduction to the series
Brunner, K.; Meltzer, A. H. - In: Carnegie-Rochester Conference Series on Public Policy 8 (1978) 1
Persistent link: https://www.econbiz.de/10005430792
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Reputational Constraints on Monetary Policy
Brunner, K.; Meltzer, A. - Institute for Quantitative Social Science, Harvard …
Persistent link: https://www.econbiz.de/10010766402
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Measuring the severity of unemployment
Riese, Martin; Brunner, K. - In: Journal of Economics 67 (1998) 2, pp. 167-180
Persistent link: https://www.econbiz.de/10005547085