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Analyzing Liquidity and Absorption Limits of Electronic Markets with Volume Durations

[journal article]

Wing Lon Ng

Abstract

This paper focuses on the liquidity of electronic stock markets applying a sequential estimation approach of models for volume durations with increasing threshold values. A modified ACD model with a Box-Tukey transformation and a flexible generalized Beta distribution is proposed to capture the chan... view more

This paper focuses on the liquidity of electronic stock markets applying a sequential estimation approach of models for volume durations with increasing threshold values. A modified ACD model with a Box-Tukey transformation and a flexible generalized Beta distribution is proposed to capture the changing cluster structure of duration processes. The estimation results with the German XETRA data reveal the market’s absorption limit for high volumes of shares, expanding the time costs of illiquidity when trading these quantities.... view less

Classification
Economic Statistics, Econometrics, Business Informatics
Financial Planning, Accountancy

Method
theory application

Free Keywords
Financial econometrics; Econometric methods; Econometrics of financial markets; Copulas; Statistical methods; Financial time series; Market microstructure; Quantitative finance

Document language
English

Publication Year
2008

Page/Pages
p. 353-361

Journal
Quantitative Finance, 8 (2008) 4

DOI
https://doi.org/10.1080/14697680701545699

Status
Postprint; peer reviewed

Licence
PEER Licence Agreement (applicable only to documents from PEER project)


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Home  |  Legal notices  |  Operational concept  |  Privacy policy
© 2007 - 2025 Social Science Open Access Repository (SSOAR).
Based on DSpace, Copyright (c) 2002-2022, DuraSpace. All rights reserved.