Estimating liquidity using information on the multivariate trading process

• Autorzy: Katarzyna Bien , Ingmar Nolte , Winfried Pohlmeier
• Języki publikacji: EN

Abstrakty

In this paper we model the dynamic multivariate density of discrete bid and ask quote changes and their associated depths. We account for the contempo- raneous relationship between these trading marks by exploiting the concept of copula functions. Thereby we show how to model truncations of the mul- tivariate density in an easy way. A Metropolized-Independence Sampler is applied to draw from the dynamic multivariate density. The samples drawn serve to construct the dynamic density function of the quote slope liquidity measure, which enables us to quantify time varying liquidity risk. We analyze the influence of the decimalization at the NYSE on liquidity.(original abstract)

Słowa kluczowe

EN

Time-series; Liquidity ratios

PL

Szeregi czasowe; Wskaźniki płynności finansowej

• Czasopismo: Department of Applied Econometrics Working Papers
• Rocznik: 2006
• Numer: nr 3
• Strony: 74

Twórcy

autor

Katarzyna Bien

• Warsaw School of Economics, Poland

autor

Ingmar Nolte

• University of Konstanz, Germany

autor

Winfried Pohlmeier

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