Market liquidity is modeled as being determined by the demand and supply of immediacy. Exogenous liquidity events coupled with the risk of delayed trade create a demand for immediacy. Market makers supply immediacy by their continuous presence and willingness to bear risk during the time period ...
Traders' Broker Choice, Market Liquidity and Market Structure Hedgers and a risk-neutral informed trader choose between a broker who takes a position in the asset (a capital broker) and a broker who does not (a discou... S Chakravarty,A Sarkar - 《Ssrn Electronic Journal》 被引量: 0发表...
在证券市场中,人们会以不同的目的进行交易,而对资产的定价,像是CAPM模型,实际上是忽略了不同的市场结构(market structure)。而在现实生活中,像股票和期货这两种不同的标的,人们自然会有不同的交易决策,或者两个交易市场是如何设计各自的规则来吸引更多的交易者,这些都会最终影响到资产定价。 1. Limit Order Marke...
Those were broad takeaways from a panel discussion at a trading, liquidity and market structure conference held Friday at Baruch College in New York. Jim Ross, Managing Director at alternative trading system operator Coda Markets, noted that 19 billion shares traded on Friday, February 28, the ...
ratioand(2)valueofequitytraded.Theyignoretheimpactofthemarketconcentrationofstocktradedwhichcouldgenermepricedistortion/manipulation.Thisstudyempiricallyestimatestheimpactofmarketstructure(concentration)andliquidity(turnoverratio)onequityperformance(price/returns)of19EEM.Weusepaneldatafortheperiod1992—2000andleast...
Lagos, Ricardo, and Guillaume Rocheteau, "Search in assets markets: Market structure, liquidity and welfare." American Economic Review 97 (2007) 198202.Lagos, Ricardo and Guillaume Rocheteau. 2007. "Search in asset markets: market structure, liquidity, and welfare." The American Economic Review...
MARKET STRUCTURE AND ASSET LIQUIDITYEnter Paper Abstract
Secondary Market Liquidity and the Optimal Capital Structure We present a model to study the feedback loop between secondary market liquidity and firm's financing decisions in primary markets. The model features two ... DM Arseneau,D Rappoport,A Vardoulakis - 《Ssrn Electronic Journal》 被引量...
Stock Market Liquidity: Implications for Market Mi crostructure and Asset Pricing Foreword by Tarun Chordia. About the Editors. About the Contributors. Part One. Liquidity Across Markets and Exchanges. Chapter 1. Order Imbalance, Liquidity, and Market Returns. Tarun Chordia, Richard Roll, and Av...
Miller Liquidity and market structure Journal of Finance, 43 (3) (1988), pp. 617-633 View in ScopusGoogle Scholar Harris, 1990 L. Harris Statistical properties of the Roll serial covariance bid/ask spread estimator Journal of Finance, 45 (2) (1990), pp. 579-590 View in ScopusGoogle ...