AI helps you reading Science
AI generates interpretation videos
AI extracts and analyses the key points of the paper to generate videos automatically
AI parses the academic lineage of this thesis
How large is liquidity risk in an automated auction market?
Ssrn Electronic Journal, no. 4 (2006): 867-887
We introduce a new empirical methodology that models liquidity risk over short time periods for impatient traders who submit market orders. Using Value-at-Risk type measures, we quantify the liquidity risk premia for portfolios and individual stocks traded on the automated auction market Xetra. The specificity of our approach relies on ...More
PPT (Upload PPT)