搜索结果: 1-6 共查到“商业经济学 Liquidity”相关记录6条 . 查询时间(0.015 秒)
Market Liquidity as a Sentiment Indicator
Price Financial Liquidity Trade Valuation Markets Forecasting and Prediction Equity
2015/5/13
We build a model that helps to explain why increases in liquidity—such as lower bid–ask spreads, a lower price impact of trade, or higher turnover—predict lower subsequent returns in both firm-level a...
Liquidity Needs in Economies with Interconnected Financial Obligations
Economy Borrowing and Debt Financial Liquidity Networks
2015/4/22
A model is developed where firms in a financial system have to settle their debts to each other by using a liquid asset. The question that is studied is how many firms must obtain how much of this ass...
Liquidity-adjusted Market Risk Measures with Stochastic Holding Period
Liquidity Risk Random Holding Period Systemic Risk
2010/10/21
Within the context of risk integration, we introduce in risk measurement stochastic holding period (SHP) models. This is done in order to obtain a `liquidity-adjusted risk measure' characterized by t...
Liquidity in Credit Networks: A Little Trust Goes a Long Way
Liquidity Credit Networks Little Trust Goes a Long Way
2010/10/21
Credit networks represent a way of modeling trust between entities in a network. Nodes in the network print their own currency and trust each other for a certain amount of each other's currency. This...
Automated Liquidity Provision and the Demise of Traditional Market Making
algorithmic trading automated trading high frequency trading market making
2010/10/21
Traditional market makers are losing their importance as automated systems have largely assumed the role of liquidity provision in markets. We update the model of Glosten and Milgrom (1985) to analyz...
Credit Default Swaps Liquidity modeling: A survey
Credit Default Swaps Liquidity modeling survey
2010/10/18
We review different approaches for measuring the impact of liquidity on CDS prices. We start with reduced form models incorporating liquidity as an additional discount rate. We review Chen, Fabozzi an...