Publikation:

Estimating liquidity using information on the multivariate trading process

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dp06_04.pdf
dp06_04.pdfGröße: 3.45 MBDownloads: 264

Datum

2006

Autor:innen

Bien, Katarzyna
Nolte, Ingmar

Herausgeber:innen

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http://nbn-resolving.de/urn:nbn:de:bsz:352-opus-32330
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Internationale Patentnummer

Link zur Lizenz
Attribution-NonCommercial-NoDerivs 2.0 Generic

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Open Access-Veröffentlichung
Open Access Green

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Wirtschaftswissenschaften: Publikationen
Core Facility der Universität Konstanz

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Titel in einer weiteren Sprache

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Working Paper/Technical Report
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Published

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Zusammenfassung

In this paper we model the dynamic multivariate density of discrete bid and ask quote changes and their associated depths. We account for the contemporaneous relationship between these trading marks by exploiting the concept of copula functions. Thereby we show how to model truncations of the multivariate density in an easy way. A Metropolized-Independence Sampler is applied to draw from the dynamic multivariate density. The samples drawn serve to construct the dynamic density function of the quote slope liquidity measure, which enables us to quantify time varying liquidity risk. We analyze the influence of the decimalization at the NYSE on liquidity.

Zusammenfassung in einer weiteren Sprache

Fachgebiet (DDC)
330 Wirtschaft

Schlagwörter

Liquidity, Copula Functions, Trading Process, Decimalization, Metropolized-Independence Sampler

Konferenz

Rezension
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Zitieren

ISO 690BIEN, Katarzyna, Ingmar NOLTE, Winfried POHLMEIER, 2006. Estimating liquidity using information on the multivariate trading process
BibTex
@techreport{Bien2006Estim-12224,
  year={2006},
  series={CoFE-Diskussionspapiere / Zentrum für Finanzen und Ökonometrie},
  title={Estimating liquidity using information on the multivariate trading process},
  number={2006/04},
  author={Bien, Katarzyna and Nolte, Ingmar and Pohlmeier, Winfried}
}
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