Analyzing Liquidity and Absorption Limits of Electronic Markets with Volume Durations

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[Zeitschriftenartikel]

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
DOI	http://dx.doi.org/10.1080/14697680701545699
Status	Postprint; begutachtet (peer reviewed)
Lizenz	PEER Licence Agreement (applicable only to documents from PEER project)