We introduce an order-driven market model with heterogeneous agents trading via a central order matching mechanism. Traders set bids and asks and post market or ... |
In our empirical analysis, using high-frequency trade and order book data, we analyze the liquidity and volatility exhibited by some large- and mid-cap. |
Liquidity providers hold a portfolio of reversals: they buy stocks whose price has fallen and sell stocks whose price has risen. The magnitude of their position ... |
22 окт. 2024 г. · We analyze whether the liquidity provision in a pure order book market undergoes regime changes when volatility switches from a low state to ... |
ABSTRACT. We document a positive relation between the volatility of liquidity and expected returns. Our measure of liquidity is based on Amihud (2002) and ... |
9 мая 2007 г. · Abstract. This paper offers a rational explanation for the puzzling empirical fact that stock returns decrease in the volatility of ... |
The main contribution of this paper is to identify the strong predictive power of the relative, rather than the absolute, volume of orders over volatility. |
Chan and. Fong (2000) analyze how order imbalances change the contemporaneous relation between stock volatility and volume using data for about six months. |
In this paper, we develop a multiasset model of market liquidity and derive the optimal strategy for block order execution under both liquidity and volatility ... |
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