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How Large is Liquidity Risk in an Automated Auction Market? · Study

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PreprintHow Large is Liquidity Risk in an Automated Auction Market?

Joachim Grammig2002

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Preprintgreen2002

How Large is Liquidity Risk in an Automated Auction Market?

Joachim Grammig · Pierre Giot

22 citations·0/0 files stored·SSRN Electronic Journal

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Financial Markets and Investment Strategies Stochastic processes and financial applications Financial Risk and Volatility Modeling

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References

1985Continuous Auctions and Insider Trading 2012The Econometrics of Financial Markets 1998Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data 1997Intraday periodicity and volatility persistence in financial markets 1995An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse 2001Value at Risk n.d.The econometrics of ultra-high frequency data /1997Transactions costs and investment style: an inter-exchange analysis of institutional equity trades

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2009Measuring Market Liquidity Risk - Which Model Works Best?2005Intraday Value at Risk (Ivar) Using Tick-by-Tick Data with Application to the Toronto Stock Exchange 2008The Impact of Order Size on Stock Liquidity - A Representative Study

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2005How large is liquidity risk in an automated auction market?article · 26 shared references 2000Some Econometric Recipes for High-Frequency Data Cookingarticle · 8 shared references 2006Limit orders and the intraday behavior of market liquidity: Evidence from the Toronto stock exchangearticle · 8 shared references 2010How Does Liquidity React to Stress Periods in a Limit Order Market?preprint · 7 shared references 2009Intraday Value at Risk (IVaR) using tick-by-tick data with application to the Toronto Stock Exchangearticle · 7 shared references 2005Optimal Trading Strategy and Supply/Demand Dynamicspreprint · 7 shared references

Details

Year2002

Typepreprint

Published2002-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations22

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.2139/ssrn.345760

openalex_workW1809761371

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