Estimating liquidity using information on the multivariate trading process

Kurzanzeige
dc.contributor.authorBien, Katarzynadeu
dc.contributor.authorNolte, Ingmardeu
dc.contributor.authorPohlmeier, Winfried
dc.date.accessioned2011-03-25T09:43:36Zdeu
dc.date.available2011-03-25T09:43:36Zdeu
dc.date.issued2006deu
dc.description.abstractIn 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.eng
dc.description.versionpublished
dc.format.mimetypeapplication/pdfdeu
dc.identifier.ppn266705553deu
dc.identifier.urihttp://kops.uni-konstanz.de/handle/123456789/12224
dc.language.isoengdeu
dc.legacy.dateIssued2007deu
dc.relation.ispartofseriesCoFE-Diskussionspapiere / Zentrum für Finanzen und Ökonometrie
dc.rightsAttribution-NonCommercial-NoDerivs 2.0 Generic
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/2.0/
dc.subjectLiquiditydeu
dc.subjectCopula Functionsdeu
dc.subjectTrading Processdeu
dc.subjectDecimalizationdeu
dc.subjectMetropolized-Independence Samplerdeu
dc.subject.ddc330deu
dc.subject.jelF30deu
dc.subject.jelC30deu
dc.subject.jelG10deu
dc.titleEstimating liquidity using information on the multivariate trading processeng
dc.typeWORKINGPAPERdeu
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kops.bibliographicInfo.seriesNumber2006/04deu
kops.citation.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}
}
kops.citation.iso690BIEN, Katarzyna, Ingmar NOLTE, Winfried POHLMEIER, 2006. Estimating liquidity using information on the multivariate trading processdeu
kops.citation.iso690BIEN, Katarzyna, Ingmar NOLTE, Winfried POHLMEIER, 2006. Estimating liquidity using information on the multivariate trading processeng
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