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Author : David Goldreich
Publisher :
ISBN 13 :
Total Pages : 39 pages
Book Rating : 4.:/5 (249 download)
Download or read book The Price of Future Liquidity written by David Goldreich and published by . This book was released on 2003 with total page 39 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Deniz Ozenbas
Publisher : Springer Nature
ISBN 13 : 3030748170
Total Pages : 111 pages
Book Rating : 4.0/5 (37 download)
Download or read book Liquidity, Markets and Trading in Action written by Deniz Ozenbas and published by Springer Nature. This book was released on 2022 with total page 111 pages. Available in PDF, EPUB and Kindle. Book excerpt: This open access book addresses four standard business school subjects: microeconomics, macroeconomics, finance and information systems as they relate to trading, liquidity, and market structure. It provides a detailed examination of the impact of trading costs and other impediments of trading that the authors call rictions It also presents an interactive simulation model of equity market trading, TraderEx, that enables students to implement trading decisions in different market scenarios and structures. Addressing these topics shines a bright light on how a real-world financial market operates, and the simulation provides students with an experiential learning opportunity that is informative and fun. Each of the chapters is designed so that it can be used as a stand-alone module in an existing economics, finance, or information science course. Instructor resources such as discussion questions, Powerpoint slides and TraderEx exercises are available online.
Author : Yakov Amihud
Publisher : Cambridge University Press
ISBN 13 : 0521191769
Total Pages : 293 pages
Book Rating : 4.5/5 (211 download)
Download or read book Market Liquidity written by Yakov Amihud and published by Cambridge University Press. This book was released on 2013 with total page 293 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book explores the effect of liquidity on asset prices, liquidity variations over time and how liquidity risk affects prices.
Author : Lucy F. Ackert
Publisher : South Western Educational Publishing
ISBN 13 : 9780538752862
Total Pages : 0 pages
Book Rating : 4.7/5 (528 download)
Download or read book Behavioral Finance written by Lucy F. Ackert and published by South Western Educational Publishing. This book was released on 2010 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: The book begins by building upon the established, conventional principles of finance that you've have already learned in your principles course. The authors then move into psychological principles of behavioral finance, including heuristics and biases, overconfidence, emotion and social forces. You immediately see how human behavior influences the decisions of individual investors and professional finance practitioners, managers, and markets. You also gain a strong understanding of how social forces impact individuals' choices. The book clearly explains what behavioral finance indicates about observed market outcomes as well as how psychological biases potentially impact the behavior of managers. The book's solid academic approach provides opportunities for you to utilize theory and complete applications in every chapter as you learn the implications of behavioral finance on retirement, pensions, education, debiasing, and client management. The book spends a significant amount of time examining how today's practitioners can use behavioral finance to further their professional success.
Author : Joseph Michael Riney
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (72 download)
Download or read book Futures Markets written by Joseph Michael Riney and published by . This book was released on 1998 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: A model of futures contract innovation incorporates hedging with liquidity costs by imposing sequential and uncertain entry of hedgers with markets clearing after each entry. Hedgers have mean-variance preferences and rational expectations about their opportunities to trade upon future entry. It is shown that the optimal contract chosen by a volume-maximizing monopolistic exchange is one which perfectly correlates with the endowment differential of hedgers. Further, the exchange may choose not to offer closely correlated contracts when liquidity is sufficiently low. Next, a simple Lucas-type model of an infinitely-lived barter economy is generalized to allow for storability of goods with the goal of examining the time-series properties of prices. The model is solved numerically and fitted to futures time-series data using methods of moments. Its implications for other moments of interest are tested with the null hypothesis that if the model is correctly specified these additional moments should be close to those of the actual data. It is found that models where all goods are storable generally outperform a model where only one of the goods is storable. While the storage model can generate price series which display high levels of autocorrelation and a degree of conditional heteroskedasticity, overall the specified null hypothesis is rejected by the data.
Author : Thierry Foucault
Publisher : Oxford University Press
ISBN 13 : 0197542069
Total Pages : 531 pages
Book Rating : 4.1/5 (975 download)
Download or read book Market Liquidity written by Thierry Foucault and published by Oxford University Press. This book was released on 2023 with total page 531 pages. Available in PDF, EPUB and Kindle. Book excerpt: "The process by which securities are traded is very different from the idealized picture of a frictionless and self-equilibrating market offered by the typical finance textbook. This book offers a more accurate and authoritative take on this process. The book starts from the assumption that not everyone is present at all times simultaneously on the market, and that participants have quite diverse information about the security's fundamentals. As a result, the order flow is a complex mix of information and noise, and a consensus price only emerges gradually over time as the trading process evolves and the participants interpret the actions of other traders. Thus, a security's actual transaction price may deviate from its fundamental value, as it would be assessed by a fully informed set of investors. The book takes these deviations seriously, and explains why and how they emerge in the trading process and are eventually eliminated. The authors draw on a vast body of theoretical insights and empirical findings on security price formation that have come to form a well-defined field within financial economics known as "market microstructure." Focusing on liquidity and price discovery, the book analyzes the tension between the two, pointing out that when price-relevant information reaches the market through trading pressure rather than through a public announcement, liquidity may suffer. It also confronts many striking phenomena in securities markets and uses the analytical tools and empirical methods of market microstructure to understand them. These include issues such as why liquidity changes over time and differs across securities, why large trades move prices up or down, and why these price changes are subsequently reversed, and why we observe temporary deviations from asset fair values"--
Author : B. A. Goss
Publisher : Psychology Press
ISBN 13 : 0415400015
Total Pages : 212 pages
Book Rating : 4.4/5 (154 download)
Download or read book Debt, Risk and Liquidity in Futures Markets written by B. A. Goss and published by Psychology Press. This book was released on 2008 with total page 212 pages. Available in PDF, EPUB and Kindle. Book excerpt: The issues of developing country debt crises, increased volatility and risk, and the determination of market liquidity are high on the agendas of policy makers, market participants and researchers in the area of financial markets. These issues are also of major importance to regulators and exchange officials. This book contains a collection of eight papers which provide new insights into all three issues, with special emphasis on futures markets, which have received relatively little attention in the analysis of these problems. Issues explored and findings reported in this book, have implications for policy makers in framing recommendations to government, for government officials in shaping the regulatory structure of futures exchanges, for traders on these exchanges, and also for researchers planning future investigations. The book is relevant for post-graduate and advanced under-graduate courses on financial markets in Economics, Finance and Banking.
Author : Eduardo S. Schwartz
Publisher :
ISBN 13 :
Total Pages : 50 pages
Book Rating : 4.:/5 (129 download)
Download or read book Liquidity and the Law of One Price written by Eduardo S. Schwartz and published by . This book was released on 2005 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt: Deviations from no-arbitrage relations should be related to frictions associated with transacting; in particular to market illiquidity, because frictions impede arbitrage. Thus, financial market liquidity may play a key role in moving prices to fair values. At the same time, a wide futures/cash basis may trigger arbitrage trades and thereby affect liquidity. We test these ideas by studying the joint dynamic structure of aggregate NYSE market liquidity and the NYSE Composite index futures basis for a relatively long time-period, over 3000 trading days. We find that liquidity and the basis forecast each other in addition to being contemporaneously correlated. There is evidence of two-way Granger causality between the short-term absolute basis and effective spreads, and quoted and effective spreads Granger-cause longer-term absolute bases.These results are preserved after including a proxy for arbitrage financing costs, the Federal Funds rate, which bears an independent positive and significant relation with the short-term absolute basis. Impulse response functions indicate that shocks to the absolute basis predict future stock market liquidity. Overall, the evidence suggests that stock market liquidity enhances the efficiency of the futures/cash pricing system.
Author : Yakov Amihud
Publisher : Now Publishers Inc
ISBN 13 : 1933019123
Total Pages : 109 pages
Book Rating : 4.9/5 (33 download)
Download or read book Liquidity and Asset Prices written by Yakov Amihud and published by Now Publishers Inc. This book was released on 2006 with total page 109 pages. Available in PDF, EPUB and Kindle. Book excerpt: Liquidity and Asset Prices reviews the literature that studies the relationship between liquidity and asset prices. The authors review the theoretical literature that predicts how liquidity affects a security's required return and discuss the empirical connection between the two. Liquidity and Asset Prices surveys the theory of liquidity-based asset pricing followed by the empirical evidence. The theory section proceeds from basic models with exogenous holding periods to those that incorporate additional elements of risk and endogenous holding periods. The empirical section reviews the evidence on the liquidity premium for stocks, bonds, and other financial assets.
Author : Yakov Amihud
Publisher : Cambridge University Press
ISBN 13 : 1139560158
Total Pages : 293 pages
Book Rating : 4.1/5 (395 download)
Download or read book Market Liquidity written by Yakov Amihud and published by Cambridge University Press. This book was released on 2012-11-12 with total page 293 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents the theory and evidence on the effect of market liquidity and liquidity risk on asset prices and on overall securities market performance. Illiquidity means incurring a high transaction cost, which includes a large price impact when trading and facing a long time to unload a large position. Liquidity risk is higher if a security becomes more illiquid when it needs to be traded in the future, which will raise trading cost. The book shows that higher illiquidity and greater liquidity risk reduce securities prices and raise the expected return that investors require as compensation. Aggregate market liquidity is linked to funding liquidity, which affects the provision of liquidity services. When these become constrained, there is a liquidity crisis which leads to downward price and liquidity spiral. Overall, the volume demonstrates the important role of liquidity in asset pricing.
Author : Gordon Pepper
Publisher : John Wiley & Sons
ISBN 13 : 0470032774
Total Pages : 190 pages
Book Rating : 4.4/5 (7 download)
Download or read book The Liquidity Theory of Asset Prices written by Gordon Pepper and published by John Wiley & Sons. This book was released on 2006-03-30 with total page 190 pages. Available in PDF, EPUB and Kindle. Book excerpt: Professional investors are bombarded on a day to day basis with assertions about the role liquidity is playing and will play in determining prices in the financial markets. Few, if any, of the providers or recipients of such advice can truly claim to understand the well–springs of such liquidity and the transmission mechanisms through which it impacts asset prices. This groundbreaking new book explores the belief that at the core of liquidity there is a force which exerts individuals to effect a financial transaction when they would not otherwise do so. Understanding this force of compulsion is a key to understanding a financial market when it appears to be behaving irrationally. This book will enable new and seasoned investors to develop an understanding of the factors, so that costly mistakes can be avoided without the lesson of experience.
![Download Three Essays [sic] on Price Formation and Liquidity in Financial Futures Markets PDF Online Free](https://books.google.com/books/content/images/frontcover/Ub-fygAACAAJ?fife=w200-h370)
Author : James Richard Cummings
Publisher :
ISBN 13 :
Total Pages : 294 pages
Book Rating : 4.:/5 (318 download)
Download or read book Three Essays [sic] on Price Formation and Liquidity in Financial Futures Markets written by James Richard Cummings and published by . This book was released on 2008 with total page 294 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author :
Publisher :
ISBN 13 :
Total Pages : 40 pages
Book Rating : 4.:/5 (89 download)
Download or read book World Agricultural Supply and Demand Estimates written by and published by . This book was released on 2008 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Hyun Song Shin
Publisher : OUP Oxford
ISBN 13 : 0191613835
Total Pages : 205 pages
Book Rating : 4.1/5 (916 download)
Download or read book Risk and Liquidity written by Hyun Song Shin and published by OUP Oxford. This book was released on 2010-05-27 with total page 205 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents the Clarendon Lectures in Finance by one of the leading exponents of financial booms and crises. Hyun Song Shin's work has shed light on the global financial crisis and he has been a central figure in the policy debates. The paradox of the global financial crisis is that it erupted in an era when risk management was at the core of the management of the most sophisticated financial institutions. This book explains why. The severity of the crisis is explained by financial development that put marketable assets at the heart of the financial system, and the increased sophistication of financial institutions that held and traded the assets. Step by step, the lectures build an analytical framework that take the reader through the economics behind the fluctuations in the price of risk and the boom-bust dynamics that follow. The book examines the role played by market-to-market accounting rules and securitisation in amplifying the crisis, and draws lessons for financial architecture, financial regulation and monetary policy. This book will be of interest to all serious students of economics and finance who want to delve beneath the outward manifestations to grasp the underlying dynamics of the boom-bust cycle in a modern financial system - a system where banking and capital market developments have become inseparable.
Author : Abdourahmane Sarr
Publisher : International Monetary Fund
ISBN 13 :
Total Pages : 72 pages
Book Rating : 4.:/5 (318 download)
Download or read book Measuring Liquidity in Financial Markets written by Abdourahmane Sarr and published by International Monetary Fund. This book was released on 2002-12 with total page 72 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper provides an overview of indicators that can be used to illustrate and analyze liquidity developments in financial markets. The measures include bid-ask spreads, turnover ratios, and price impact measures. They gauge different aspects of market liquidity, namely tightness (costs), immediacy, depth, breadth, and resiliency. These measures are applied in selected foreign exchange, money, and capital markets to illustrate their operational usefulness. A number of measures must be considered because there is no single theoretically correct and universally accepted measure to determine a market's degree of liquidity and because market-specific factors and peculiarities must be considered.
Author : Antonio E. Bernardo
Publisher :
ISBN 13 :
Total Pages : 35 pages
Book Rating : 4.:/5 (129 download)
Download or read book Liquidity and Financial Market Runs written by Antonio E. Bernardo and published by . This book was released on 2003 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt: We model a run on a financial market, in which each risk-neutral investor fears having to liquidate shares after a run, but before prices can recover back to fundamental values. To avoid having to possibly liquidate shares at the marginal post-run price - in which case the risk-averse market-making sector will already hold a lot of share inventory and thus be more reluctant to absorb additional shares - each investor may prefer selling today at the average in-run price, thereby causing the run itself. Liquidity runs and crises are not caused by liquidity shocks per se, but by the fear of future liquidity shocks.
Author : Ahmet K. Karagozoglu
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (129 download)
Download or read book Changing the Size of a Futures Contract written by Ahmet K. Karagozoglu and published by . This book was released on 2000 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We analyze the relation between contract size and liquidity using data from the respecification of Sydney Future Exchange?s (SFE) Share Price Index (SPI) and 90-day Bank Accepted Bill (BAB) futures contracts. Respecification of SPI and BAB contracts presents a unique opportunity to investigate the effects of a change in futures contract size. SFE decreased the size of SPI futures by a factor of four while increasing its minimum tick. The BAB contract was doubled in size with the minimum tick size left unchanged. We find, after controlling for market factors, that the respecification of the SPI futures resulted in higher trading volume, while that of BAB futures decreased trading volume. The results regarding spreads are ambiguous. Based on two cases investigated, we conclude that decreasing the futures contract size was effective in terms of enhancing liquidity while increasing the size resulted in a reduction in liquidity.
