AN ANALYSIS OF THE SUPPLY CURVE FOR LIQUIDITY RISK THROUGH BOOK DATA

AN ANALYSIS OF THE SUPPLY CURVE FOR LIQUIDITY RISK THROUGH BOOK DATA

We use order book data combined with tick data to analyze the supply curve models of liquidity issues in stock and option market trading. We show that supply curves really exist, and further that for highly liquid stocks they are linear. For slightly less liquid stocks the supply curve tends to be j...

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Veröffentlicht in:International Journal of Theoretical and Applied Finance (IJTAF) 2010-09, Vol.13 (6), p.821-838
Hauptverfasser: BLAIS, MARCEL, PROTTER, PHILIP
Format: Artikel
Sprache:eng
Schlagworte:
Applied economics
arbitrage
Capital market
Econometric models
Finance
Financial analysis
hedging risk
Investment
Liquidity
Liquidity risk
option
Option pricing
Put & call options
Risk management
Securities markets
Securities trading
semimartingale
Stock exchange
Studies
Supply
supply curve
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Beschreibung
Zusammenfassung:We use order book data combined with tick data to analyze the supply curve models of liquidity issues in stock and option market trading. We show that supply curves really exist, and further that for highly liquid stocks they are linear. For slightly less liquid stocks the supply curve tends to be jump linear.
ISSN:0219-0249
1793-6322
1793-6322
DOI:10.1142/S0219024910006017