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Author: Angelika Esser Publisher: ISBN: Category : Languages : en Pages : 23
Book Description
This paper investigates the interactions between stock price movements, the trading strategies of a large trader, and liquidity. Our framework generalizes the model of Frey by introducing a stochastic liquidity factor. We derive a formula for the feedback effect of the large investor's trading strategy and examine the feedback effects on stock prices for positive and contrarian trading strategies. Features of our model are illustrated using Monte Carlo simulation. The main contribution of this paper is the examination of the price process in an economy with stochastic liquidity, such that liquidity shocks can be captured and their consequences can be analyzed. We observe significant liquidity feedback effects on both the price process of the underlying and the trading strategy of the large investor.
Author: Angelika Esser Publisher: ISBN: Category : Languages : en Pages : 23
Book Description
This paper investigates the interactions between stock price movements, the trading strategies of a large trader, and liquidity. Our framework generalizes the model of Frey by introducing a stochastic liquidity factor. We derive a formula for the feedback effect of the large investor's trading strategy and examine the feedback effects on stock prices for positive and contrarian trading strategies. Features of our model are illustrated using Monte Carlo simulation. The main contribution of this paper is the examination of the price process in an economy with stochastic liquidity, such that liquidity shocks can be captured and their consequences can be analyzed. We observe significant liquidity feedback effects on both the price process of the underlying and the trading strategy of the large investor.
Author: Angelika Esser Publisher: ISBN: Category : Languages : en Pages : 23
Book Description
We model the interactions between the trading activities of a large investor, the stock price and the market liquidity. Our framework generalizes the model of Frey (2000), where liquidity is constant by introducing a stochastic liquidity factor. This innovation has two implications. First, we can analyse trading strategies for the large investor that are affected by a changing market depth. Second, the sensitivity of stock process to the trading strategy of the large investor can vary due to changes in liquidity. Features of our model are demonstrated using Monte Carlo simulation for different scenarios. The flexibility of our framework is illustrated by an application that deals with the pricing of a liquidity derivative. The claim under consideration compensates a large investor who follows a stop loss strategy for the liquidity risk that is associated with a stop loss order. The derivative matures when the asset price falls below a stop loss limit for the first time and then pays the price difference between the asset price immediately before and after the execution of the stop loss order. The setup to price the liquidity derivative is calibrated for one example using real world limit order book data so that one gets an impression about the order of magnitude of the liquidity effect.
Author: Hoai An Le Thi Publisher: Springer ISBN: 331918167X Category : Technology & Engineering Languages : en Pages : 497
Book Description
This proceedings set contains 85 selected full papers presentedat the 3rd International Conference on Modelling, Computation and Optimization in Information Systems and Management Sciences - MCO 2015, held on May 11–13, 2015 at Lorraine University, France. The present part II of the 2 volume set includes articles devoted to Data analysis and Data mining, Heuristic / Meta heuristic methods for operational research applications, Optimization applied to surveillance and threat detection, Maintenance and Scheduling, Post Crises banking and eco-finance modelling, Transportation, as well as Technologies and methods for multi-stakeholder decision analysis in public settings.
Author: Jeffrey Said Publisher: ISBN: 9780549057178 Category : Languages : en Pages : 131
Book Description
It was from Bachelier's now famous Ph.D. thesis of 1900, that the modern discipline of mathematical finance was born. Since its inception, the standard models in classical financial mathematics have specified price dynamics as exogenously given price processes such as Brownian or geometric Brownian motion. This ignores the fact that in general trade size impacts transaction prices and thus tacitly assumes that the size of trades under investigation will be negligibly small as compared to the market volume.
Author: Jean-Philippe Bouchaud Publisher: Cambridge University Press ISBN: 1108639062 Category : Science Languages : en Pages : 464
Book Description
The widespread availability of high-quality, high-frequency data has revolutionised the study of financial markets. By describing not only asset prices, but also market participants' actions and interactions, this wealth of information offers a new window into the inner workings of the financial ecosystem. In this original text, the authors discuss empirical facts of financial markets and introduce a wide range of models, from the micro-scale mechanics of individual order arrivals to the emergent, macro-scale issues of market stability. Throughout this journey, data is king. All discussions are firmly rooted in the empirical behaviour of real stocks, and all models are calibrated and evaluated using recent data from Nasdaq. By confronting theory with empirical facts, this book for practitioners, researchers and advanced students provides a fresh, new, and often surprising perspective on topics as diverse as optimal trading, price impact, the fragile nature of liquidity, and even the reasons why people trade at all.
Author: Matthieu Charpe Publisher: Cambridge University Press ISBN: 1139497456 Category : Business & Economics Languages : en Pages : 457
Book Description
The macroeconomic development of most major industrial economies is characterised by boom-bust cycles. Normally such boom-bust cycles are driven by specific sectors of the economy. In the financial meltdown of the years 2007–9 it was the credit sector and the real-estate sector that were the main driving forces. This book takes on the challenge of interpreting and modelling this meltdown. In doing so it revives the traditional Keynesian approach to the financial-real economy interaction and the business cycle, extending it in several important ways. In particular, it adopts the Keynesian view of a hierarchy of markets and introduces a detailed financial sector into the traditional Keynesian framework. The approach of the book goes beyond the currently dominant paradigm based on the representative agent, market clearing and rational economic agents. Instead it proposes an economy populated with heterogeneous, rationally bounded agents attempting to cope with disequilibria in various markets.
Author: Antonio Castagna Publisher: John Wiley & Sons ISBN: 1119990246 Category : Business & Economics Languages : en Pages : 600
Book Description
A fully up-to-date, cutting-edge guide to the measurement and management of liquidity risk Written for front and middle office risk management and quantitative practitioners, this book provides the ground-level knowledge, tools, and techniques for effective liquidity risk management. Highly practical, though thoroughly grounded in theory, the book begins with the basics of liquidity risks and, using examples pulled from the recent financial crisis, how they manifest themselves in financial institutions. The book then goes on to look at tools which can be used to measure liquidity risk, discussing risk monitoring and the different models used, notably financial variables models, credit variables models, and behavioural variables models, and then at managing these risks. As well as looking at the tools necessary for effective measurement and management, the book also looks at and discusses current regulation and the implication of new Basel regulations on management procedures and tools.
Author: Angelika Esser
Author: Angelika Esser
Author: Angelika Esser
Author: Todor Bilarev
Author: Hoai An Le Thi
Author: Kaushik Ronnie Sircar
Author: Jeffrey Said
Author: Jean-Philippe Bouchaud
Author: Matthieu Charpe
Author: T. S. Callen
Author: Antonio Castagna