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Analyzing Liquidity and Absorption Limits of Electronic Markets with Volume Durations


Wing Lon Ng


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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 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.
Klassifikation Finanzwirtschaft, Rechnungswesen; Wirtschaftsstatistik, Ökonometrie, Wirtschaftsinformatik
Methode Theorieanwendung
Freie Schlagwörter Financial econometrics; Econometric methods; Econometrics of financial markets; Copulas; Statistical methods; Financial time series; Market microstructure; Quantitative finance
Sprache Dokument Englisch
Publikationsjahr 2008
Seitenangabe S. 353-361
Zeitschriftentitel Quantitative Finance, 8 (2008) 4
Status Postprint; begutachtet (peer reviewed)
Lizenz PEER Licence Agreement (applicable only to documents from PEER project)