Market Liquidity

Author : Thierry Foucault,Marco Pagano,Ailsa Röell
Publisher : Oxford University Press
Page : 531 pages
File Size : 40,8 Mb
Release : 2023
Category : Capital market
ISBN : 9780197542064

Get Book

Market Liquidity by Thierry Foucault,Marco Pagano,Ailsa Röell Pdf

"The process by which securities are traded is very different from the idealized picture of a frictionless and self-equilibrating market offered by the typical finance textbook. This book offers a more accurate and authoritative take on this process. The book starts from the assumption that not everyone is present at all times simultaneously on the market, and that participants have quite diverse information about the security's fundamentals. As a result, the order flow is a complex mix of information and noise, and a consensus price only emerges gradually over time as the trading process evolves and the participants interpret the actions of other traders. Thus, a security's actual transaction price may deviate from its fundamental value, as it would be assessed by a fully informed set of investors. The book takes these deviations seriously, and explains why and how they emerge in the trading process and are eventually eliminated. The authors draw on a vast body of theoretical insights and empirical findings on security price formation that have come to form a well-defined field within financial economics known as "market microstructure." Focusing on liquidity and price discovery, the book analyzes the tension between the two, pointing out that when price-relevant information reaches the market through trading pressure rather than through a public announcement, liquidity may suffer. It also confronts many striking phenomena in securities markets and uses the analytical tools and empirical methods of market microstructure to understand them. These include issues such as why liquidity changes over time and differs across securities, why large trades move prices up or down, and why these price changes are subsequently reversed, and why we observe temporary deviations from asset fair values"--

Author : Thierry Foucault,Ohad Kadan,Eugene Kandel
Publisher : Unknown
Page : 76 pages
File Size : 46,7 Mb
Release : 2001
Category : Liquidity (Economics)
ISBN : UVA:X006132549

Get Book

Limit Order Book as a Market for Liquidity by Thierry Foucault,Ohad Kadan,Eugene Kandel Pdf

Author : François-Serge Lhabitant,Greg N. Gregoriou
Publisher : John Wiley & Sons
Page : 502 pages
File Size : 55,7 Mb
Release : 2008-01-09
Category : Business & Economics
ISBN : 9780470181690

Get Book

Stock Market Liquidity by François-Serge Lhabitant,Greg N. Gregoriou Pdf

Brings together today's best financial minds across the world to discuss the issue of liquidity in today's markets. It is often proxied by trade-based measures (such as trading volume, frequency of trading, dollar value of shares trade, etc), order based measures and price impact measures.

Author : Deniz Ozenbas
Publisher : Springer Nature
Page : 111 pages
File Size : 51,5 Mb
Release : 2022
Category : Business enterprises
ISBN : 9783030748173

Get Book

Liquidity, Markets and Trading in Action by Deniz Ozenbas Pdf

This open access book addresses four standard business school subjects: microeconomics, macroeconomics, finance and information systems as they relate to trading, liquidity, and market structure. It provides a detailed examination of the impact of trading costs and other impediments of trading that the authors call rictions It also presents an interactive simulation model of equity market trading, TraderEx, that enables students to implement trading decisions in different market scenarios and structures. Addressing these topics shines a bright light on how a real-world financial market operates, and the simulation provides students with an experiential learning opportunity that is informative and fun. Each of the chapters is designed so that it can be used as a stand-alone module in an existing economics, finance, or information science course. Instructor resources such as discussion questions, Powerpoint slides and TraderEx exercises are available online.

Author : Yakov Amihud,Haim Mendelson,Lasse Heje Pedersen
Publisher : Cambridge University Press
Page : 293 pages
File Size : 51,9 Mb
Release : 2013
Category : BUSINESS & ECONOMICS
ISBN : 9780521191760

Get Book

Market Liquidity by Yakov Amihud,Haim Mendelson,Lasse Heje Pedersen Pdf

This book explores the effect of liquidity on asset prices, liquidity variations over time and how liquidity risk affects prices.

Author : Olivier Gueant
Publisher : CRC Press
Page : 302 pages
File Size : 45,6 Mb
Release : 2016-03-30
Category : Business & Economics
ISBN : 9781498725484

Get Book

The Financial Mathematics of Market Liquidity by Olivier Gueant Pdf

This book is among the first to present the mathematical models most commonly used to solve optimal execution problems and market making problems in finance. The Financial Mathematics of Market Liquidity: From Optimal Execution to Market Making presents a general modeling framework for optimal execution problems-inspired from the Almgren-Chriss app

Author : Thierry Foucault,Marco Pagano,Ailsa Roell,Ailsa Röell
Publisher : Oxford University Press
Page : 441 pages
File Size : 44,6 Mb
Release : 2013-04-04
Category : Business & Economics
ISBN : 9780199936243

Get Book

Market Liquidity by Thierry Foucault,Marco Pagano,Ailsa Roell,Ailsa Röell Pdf

This book offers an authorative take on the liquidity of securities markets, its determinants, and its effects. It presents the basic modeling and econometric tools used in market microstructure - the area of finance that studies price formation in securities markets.

Author : Robert A. Schwartz,Reto Francioni
Publisher : John Wiley & Sons
Page : 483 pages
File Size : 53,7 Mb
Release : 2004-10-06
Category : Business & Economics
ISBN : 9780471689881

Get Book

Equity Markets in Action by Robert A. Schwartz,Reto Francioni Pdf

An in-depth look at the nature of market making and exchanges From theory to practicalities, this is a comprehensive, up-to-date handbook and reference on how markets work and the nuances of trading. It includes a CD with an interactive trading simulation. Robert A. Schwartz, PhD (New York, NY), is Marvin M. Speiser Professor of Finance and University Distinguished Professor in the Zicklin School of Business, Baruch College, CUNY. Reto Francioni, PhD (Zurich, Switzerland), is President and Chairman of the Board of SWX, the Swiss Stock Exchange, and former co-CEO of Consors Discount Broker AG, Nuremberg.

Author : Darrell Duffie
Publisher : Walter de Gruyter GmbH & Co KG
Page : 94 pages
File Size : 45,7 Mb
Release : 2022-11-07
Category : Business & Economics
ISBN : 9783110673050

Get Book

Fragmenting Markets by Darrell Duffie Pdf

Post-crisis capital regulations and new failure-resolution rules increased the funding costs that are borne by bank shareholders, and thus the cost to buy-side firms for access to space on the balance sheets of large banks. A policy implication is the encouragement of market infrastructure and trading methods that reduce the amount of space on bank balance sheets that is needed to conduct a given amount of trade. Using models and evidence, this book addresses the implications for financial-market liquidity of these regulations for systemically important banks and argues that current rules do not allow for potential levels of market efficiency and financial stability. In this insightful analysis of the impact of regulation on financial market efficiency post-2008, the author argues that bank capital levels could actually be pushed higher while still improving the liquidity of markets for safe assets such as low-risk fixed-income instruments by relaxing the leverage-ratio rule and increasing risk-based capital requirements.

Author : Olivier Gueant
Publisher : Chapman and Hall/CRC
Page : 0 pages
File Size : 41,6 Mb
Release : 2016-03-15
Category : Business & Economics
ISBN : 1498725473

Get Book

Optimal Execution and Liquidation in Finance by Olivier Gueant Pdf

This book is devoted to mathematical models for execution problems in finance. The main goal is to present a general framework (inspired from the Almgren-Chriss approach) for optimal execution problems, and then to use it in a wide range of areas. The book covers applications to the different types of execution proposed within the brokerage industry. It also presents applications to block trade pricing, to portfolio management and to option pricing.

Author : E. Banks
Publisher : Springer
Page : 300 pages
File Size : 50,5 Mb
Release : 2013-11-06
Category : Business & Economics
ISBN : 9781137374400

Get Book

Liquidity Risk by E. Banks Pdf

Liquidity Management is now a core consideration for banks and other financial institutions following the collapse of numerous well-known banks in 2007-8. This timely new edition will provide practical guidance on liquidity risk and its management – now mandatory under new regulation.

Author : Ilias Alami
Publisher : Routledge
Page : 236 pages
File Size : 40,7 Mb
Release : 2019-12-09
Category : Business & Economics
ISBN : 9781000769005

Get Book

Money Power and Financial Capital in Emerging Markets by Ilias Alami Pdf

This book provides a comprehensive investigation of the messy and crisis-ridden relationship between the operations of capitalist finance, global capital flows, and state power in emerging markets. The politics, drivers of emergence, and diversity of these myriad forms of state power are explored in light of the positionality of emerging markets within the network of space and power relations that characterises contemporary global finance. The book develops a multi-disciplinary perspective and combines insights from Marxist political economy, post-Keynesian economics, economic geography, and postcolonial and feminist International Political Economy. Alami comprehensively reviews the theories, histories, and geographies of cross-border finance management, and develops a conceptual framework which allows unpacking the complex entanglement of constraint and opportunities, of growing integration and tight discipline, that cross-border finance represents for emerging markets. Extensive fieldwork research provides an in-depth comparative critical interrogation of the policies and regulations deployed in Brazil and South Africa. This volume will be especially useful to those researching and working in the areas of international political economy, contemporary geographies of money and finance, and critical development studies. It should also prove of interest to policy makers, practitioners, and activists concerned with the relation between finance and development in emerging markets and beyond.

Author : Andria van der Merwe
Publisher : Springer
Page : 200 pages
File Size : 41,7 Mb
Release : 2016-01-12
Category : Business & Economics
ISBN : 9781137389237

Get Book

Market Liquidity Risk by Andria van der Merwe Pdf

Andria van der Merwe provides a thorough guide to the critical tools needed to navigate liquidity markets and value security pricing in the presence of market frictions and information asymmetries. This is essential reading for anyone with a current or future interest in liquidity models, market structures, and trading mechanisms.

Author : Guillaume Rocheteau,Ed Nosal
Publisher : MIT Press
Page : 501 pages
File Size : 54,8 Mb
Release : 2017-05-19
Category : Business & Economics
ISBN : 9780262533270

Get Book

Money, Payments, and Liquidity, second edition by Guillaume Rocheteau,Ed Nosal Pdf

A new edition of a book presenting a unified framework for studying the role of money and liquid assets in the economy, revised and updated. In Money, Payments, and Liquidity, Guillaume Rocheteau and Ed Nosal provide a comprehensive investigation into the economics of money, liquidity, and payments by explicitly modeling the mechanics of trade and its various frictions (including search, private information, and limited commitment). Adopting the last generation of the New Monetarist framework developed by Ricardo Lagos and Randall Wright, among others, Nosal and Rocheteau provide a dynamic general equilibrium framework to examine the frictions in the economy that make money and liquid assets play a useful role in trade. They discuss such topics as cashless economies; the properties of an asset that make it suitable to be used as a medium of exchange; the optimal monetary policy and the cost of inflation; the coexistence of money and credit; and the relationships among liquidity, asset prices, monetary policy; and the different measures of liquidity in over-the-counter markets. The second edition has been revised to reflect recent progress in the New Monetarist approach to payments and liquidity. Rocheteau and Nosal have added three new chapters: on unemployment and payments, on asset price dynamics and bubbles, and on crashes and recoveries in over-the-counter markets. The chapter on the role of money has been entirely rewritten, adopting a mechanism design approach. Other chapters have been revised and updated, with new material on credit economies under limited commitment, open-market operations and liquidity traps, and the limited pledgeability of assets under informational frictions.

Author : Anonim
Publisher : Lulu.com
Page : 294 pages
File Size : 55,9 Mb
Release : 2004
Category : Bank capital
ISBN : 9789291316694

Get Book

International Convergence of Capital Measurement and Capital Standards by Anonim Pdf