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Risk ; Intermediary ; Volatility …We study price pressures in stock prices-price deviations from fundamental value due to a risk-averse intermediary … supplying liquidity to asynchronously arriving investors. Empirically, twelve years of daily New York Stock Exchange …
Persistent link: https://www.econbiz.de/10003980637
Persistent link: https://www.econbiz.de/10010532702
We study price pressures in stock prices-price deviations from fundamental value due to a risk-averse intermediary … supplying liquidity to asynchronously arriving investors. Empirically, twelve years of daily New York Stock Exchange … intermediary data reveal economically large price pressures. A $100,000 inventory shock causes an average price pressure of 0 …
Persistent link: https://www.econbiz.de/10010958491
liquidity to asynchronously arriving investors. Empirically, New York Stock Exchange intermediary data reveals economically … captures an intermediary׳s use of price pressure to mean-revert inventory. She trades off revenue loss due to price pressure … against price risk associated with staying in a nonzero inventory state. The closed-form solution identifies the intermediary …
Persistent link: https://www.econbiz.de/10011076295
liquidity to asynchronously arriving investors. Empirically, New York Stock Exchange intermediary data reveals economically … captures an intermediary's use of price pressure to mean-revert inventory. She trades off revenue loss due to price pressure … against price risk associated with staying in a nonzero inventory state. The closed-form solution identifies the intermediary …
Persistent link: https://www.econbiz.de/10013039487
In this paper we survey the theoretical and empirical literatures on market liquidity. We organize both literatures …
Persistent link: https://www.econbiz.de/10014025359
. Tractability of the model allows us to derive natural proxies for important measures of market liquidity such as trade volume … alleviation of search frictions in one market may lead to opposite observations regarding liquidity in other markets depending on … which liquidity measure is used. For example, a reduction of search frictions in one market decreases trade volume in other …
Persistent link: https://www.econbiz.de/10012830867
speculative trading increases. As a result, market liquidity deteriorates and short-term volatility rises. Our findings hold for a …
Persistent link: https://www.econbiz.de/10012016546
that algorithmic traders withdrew liquidity and generated uninformative volatility in Swiss franc currency pairs, while …
Persistent link: https://www.econbiz.de/10011906367
previous volatility, scarce liquidity, high quantity exchanged, and stop-loss (SL) orders (seldom mentioned in the literature … volatility, liquidity, and SL orders as the main causes of excess volatility. However, contrary to mainstream literature on …
Persistent link: https://www.econbiz.de/10013272630