搜索结果: 1-10 共查到“应用经济学 Liquidity”相关记录10条 . 查询时间(0.579 秒)
Common-Value Auctions with Liquidity Needs: An Experimental Test of a Troubled Assets Reverse Auction
Liquidity Needs reverse auction
2015/9/18
We report the results of an experimental test of alternative auction designs suitable for pricing
and removing troubled assets from banks’ balance sheets as part of the financial rescue
planned by...
Market Liquidity as a Sentiment Indicator
Price Financial Liquidity Trade Valuation Markets Forecasting and Prediction Equity
2015/5/13
We build a model that helps to explain why increases in liquidity—such as lower bid–ask spreads, a lower price impact of trade, or higher turnover—predict lower subsequent returns in both firm-level a...
Liquidity Needs in Economies with Interconnected Financial Obligations
Economy Borrowing and Debt Financial Liquidity Networks
2015/4/22
A model is developed where firms in a financial system have to settle their debts to each other by using a liquid asset. The question that is studied is how many firms must obtain how much of this ass...
European Option Pricing with Liquidity Shocks
liquidity shock indifference price exponential utility maximization
2012/6/2
We study the valuation and hedging problem of European options in a market subject to liquidity shocks. Working within a Markovian regime-switching setting, we model illiquidity as the inability to tr...
Liquidity-adjusted Market Risk Measures with Stochastic Holding Period
Liquidity Risk Random Holding Period Systemic Risk
2010/10/21
Within the context of risk integration, we introduce in risk measurement stochastic holding period (SHP) models. This is done in order to obtain a `liquidity-adjusted risk measure' characterized by t...
Liquidity in Credit Networks: A Little Trust Goes a Long Way
Liquidity Credit Networks Little Trust Goes a Long Way
2010/10/21
Credit networks represent a way of modeling trust between entities in a network. Nodes in the network print their own currency and trust each other for a certain amount of each other's currency. This...
Automated Liquidity Provision and the Demise of Traditional Market Making
algorithmic trading automated trading high frequency trading market making
2010/10/21
Traditional market makers are losing their importance as automated systems have largely assumed the role of liquidity provision in markets. We update the model of Glosten and Milgrom (1985) to analyz...
Credit Default Swaps Liquidity modeling: A survey
Credit Default Swaps Liquidity modeling survey
2010/10/18
We review different approaches for measuring the impact of liquidity on CDS prices. We start with reduced form models incorporating liquidity as an additional discount rate. We review Chen, Fabozzi an...
The Materiality of LIFO Accounting Distortions on Liquidity Measurements
inventory valuation method LIFO IFRS accounting distortions liquidity measures
2010/10/18
With the pending US adoption of International Financial Reporting Standards (IFRS) and
the potential elimination of last-in-first-out (LIFO) as an accepted inventory valuation method, the use of LIFO...
Liquidity Crisis, Granularity of the Order Book and Price Fluctuations
Liquidity Crisis Granularity of the Order Book Price Fluctuations
2010/10/29
We introduce a microscopic model for the dynamics of the order book to study how the lack of liquidity influences price fluctuations. We use the average density of the stored orders (granularity g) as...