Download full text
(495.0Kb)
Citation Suggestion
Please use the following Persistent Identifier (PID) to cite this document:
https://nbn-resolving.org/urn:nbn:de:0168-ssoar-221094
Exports for your reference manager
Analyzing Liquidity and Absorption Limits of Electronic Markets with Volume Durations
[journal article]
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)