Similar Search Results

A Comparison of Three Models to Predict Liquidity Flows between Banks Based on Daily Payments Transactions

Triepels, Ron - 2016

infrastructures. Payment data provide an accurate description of how banks manage their liquidity over time. In this paper we compare … three models to predict future liquidity flows from payment data: 1) a moving average model, 2) a linear dynamic system that … conservation of liquidity. The error graphs of one-step-ahead predictions on real-world payment data reveal that the moving average …

Persistent link: https://www.econbiz.de/10012983637

Out-of-sample predictability of economic efficiency measures of U.S. banks : evidence of capital adequacy requirements

Sakouvogui, Kekoura - In: Review of economics 71 (2020) 3, pp. 197-222

Persistent link: https://www.econbiz.de/10012507351

Liquidity provision and cross arbitrage in continuous double-auction prediction markets

Antweiler, Werner - In: The journal of prediction markets 7 (2013) 3, pp. 61-86

Persistent link: https://www.econbiz.de/10010342032

Debt market liquidity and corporate default prediction

Wu, Deming; Zhang, Suning - In: The quarterly journal of finance 4 (2014) 4, pp. 1-33

Persistent link: https://www.econbiz.de/10010472890

Modelling techniques for financial markets and bank management

Bertocchi, Marida (ed.); Cavalli, Enrico (contributor); … - 1996

Persistent link: https://www.econbiz.de/10000562871

Forecasting Prices from Level-I Quotes in the Presence of Hidden Liquidity

Avellaneda, Marco - 2012

the best bid/ask sizes, the hidden liquidity of the market and the correlation between changes in the bid/ask sizes. The … estimate the hidden liquidity in a market based on high-frequency data. We illustrate the approach with an empirical study of a …

Persistent link: https://www.econbiz.de/10013115602

Modelling and forecasting liquidity supply using semiparametric factor dynamics

Härdle, Wolfgang; Hautsch, Nikolaus; Mihoci, Andrija - In: Journal of empirical finance 19 (2012) 4, pp. 610-625

Persistent link: https://www.econbiz.de/10009615658

Predicting US recessions with stock market illiquidity

Chen, Shiu-sheng; Chou, Yu-Hsi; Yen, Chia-Yi - In: The B.E. journal of macroeconomics 16 (2016) 1, pp. 93-123

Persistent link: https://www.econbiz.de/10011508569

Liquidity and asset prices : an empirical investigation of the nordic stock markets

Butt, Hilal Anwar; Virk, Nader Shahzad - In: European financial management : the journal of the … 21 (2015) 4, pp. 672-705

Persistent link: https://www.econbiz.de/10011408519

Stylized algorithmic trading : satisfying the predictive near-term demand of liquidity

Sun, Edward W.; Kruse, Timm; Chen, Yi-Ting - In: Decision making and risk/return optimization in …, (pp. 315-347). 2019

Persistent link: https://www.econbiz.de/10012134866