AI helps you reading Science

AI generates interpretation videos

AI extracts and analyses the key points of the paper to generate videos automatically


pub
Go Generating

AI Traceability

AI parses the academic lineage of this thesis


Master Reading Tree
Generate MRT

How large is liquidity risk in an automated auction market?

Ssrn Electronic Journal, no. 4 (2006): 867-887

Cited by: 63|Views2

Abstract

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

Code:

Data:

Your rating :
0

 

Tags
Comments
小科