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Price impact and the recovery of the limit order book : why should we care about informed liquidity providers?

Havran, Dániel; Váradi, Kata - 2015

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...

Persistent link: https://www.econbiz.de/10011317119

Return Dispersion, Stock Market Liquidity and Aggregate Economic Activity

Degiannakis, Stavros; Andrikopoulos, Andreas; … - 2022

This paper examines the effect of return dispersion on the dynamics of stock market liquidity, risk and return. Moreover, the importance of return dispersion in forecasting aggregate economic activity is rediscovered in the context of a regime switching model that accounts for stock market...

Persistent link: https://www.econbiz.de/10013403197

The Nature of Volatility Spillovers across the International Capital Markets

Peralta, Gustavo - 2016

This paper studies the nature of volatility spillovers across countries from the perspective of network theory and by relying on data of US-listed ETFs. I use a Lasso-related technique to estimate the International Volatility Network (IVN) where the nodes correspond to large-cap international...

Persistent link: https://www.econbiz.de/10012995260

The Nature of Volatility Spillovers Across the International Capital Markets

Peralta, Gustavo - 2019

This paper studies the nature of volatility spillovers across countries from the per-spective of network theory and by relying on data of US-listed ETFs. I use a Lasso-related technique to estimate the International Volatility Network (IVN) where the nodes correspond to large-cap international...

Persistent link: https://www.econbiz.de/10012868889

Resiliency : a dynamic view of liquidity

Kempf, Alexander; Mayston, Daniel; Gehde-Trapp, Monika; … - 2015

This paper investigates resiliency to provide a dynamic perspective on liquidity. We define resiliency as the rate of … mean reversion in liquidity. Resiliency increases with the proportion of patient traders, decreases with order arrival rate …, and increases with tick size; providing strong support for the Foucault, Kadan, and Kandel (2005) model. Resiliency is …

Persistent link: https://www.econbiz.de/10010485484

An Analysis of CDS Market Liquidity by the Hawkes Process

Egami, Masahiko - 2013

We study the credit default swap (CDS) markets in the U.S. and Japan, focusing on bid-ask spreads which are closely related to the liquidity of the markets. Since bid-ask spreads dramatically surged during the financial crisis (2008-2009) and the market became very illiquid, it is crucially...

Persistent link: https://www.econbiz.de/10013088611

The Effects of Liquidity on the Price Discovery Process in Credit Derivatives Markets in Times of Financial Distress

Peña, Juan Ignacio - 2019

This paper analyses the role of liquidity in the price discovery process. Specifically, it focuses on the credit derivatives markets in the context of the subprime crisis. It presents a theoretical price discovery model for the ASP, bond and CDS markets and then it tests the model with data from...

Persistent link: https://www.econbiz.de/10012868923

Forecasting energy markets using support vector machines

Papadimitriou, Theophilos; Gogas, Periklis; Stathakis, … - In: Energy Economics 44 (2014) C, pp. 135-142

In this paper we investigate the efficiency of a support vector machine (SVM)-based forecasting model for the next-day directional change of electricity prices. We first adjust the best autoregressive SVM model and then we enhance it with various related variables. The system is tested on the...

Persistent link: https://www.econbiz.de/10011100113

The Rebalancing Conundrum : Private Equity Valuations and Market Dislocations

Shen, Junying; Teng, Michelle - 2022

Changes in reported private equity (PE) valuations often lag those in public asset valuations, especially during periods of market turmoil. These periods often cause portfolio asset allocations to deviate from target allocations – something known as the “denominator effect.”Rebalancing...

Persistent link: https://www.econbiz.de/10014351644

Modelling the Dependence of Volatility from Sampling Frequency

Parentich, William - 2019

This paper explores the influence of sampling frequency on volatility of financial time series in the framework of the delay model for stock prices suggested in Luong and Dokuchaev (2016). The dependence of the volatility on the sampling frequency is analysed for historical data and simulated...

Persistent link: https://www.econbiz.de/10012894498

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