Estimating liquidity using information on the multivariate trading process

Bien, Katarzyna; Nolte, Ingmar; Pohlmeier, Winfried

Estimating liquidity using information on the multivariate trading process

Dateien

dp06_04.pdfGröße: 3.45 MBDownloads: 251

Datum

2006

Autor:innen

Bien, Katarzyna

Nolte, Ingmar

Pohlmeier, Winfried

Open Access-Veröffentlichung

Open Access Green

Sammlungen

Wirtschaftswissenschaften

Publikationstyp

Working Paper/Technical Report

Publikationsstatus

Published

Zusammenfassung

In this paper we model the dynamic multivariate density of discrete bid and ask quote changes and their associated depths. We account for the contemporaneous relationship between these trading marks by exploiting the concept of copula functions. Thereby we show how to model truncations of the multivariate density in an easy way. A Metropolized-Independence Sampler is applied to draw from the dynamic multivariate density. The samples drawn serve to construct the dynamic density function of the quote slope liquidity measure, which enables us to quantify time varying liquidity risk. We analyze the influence of the decimalization at the NYSE on liquidity.

Fachgebiet (DDC)

330 Wirtschaft

Schlagwörter

Liquidity, Copula Functions, Trading Process, Decimalization, Metropolized-Independence Sampler

Zitieren

ISO 690

BIEN, Katarzyna, Ingmar NOLTE, Winfried POHLMEIER, 2006. Estimating liquidity using information on the multivariate trading process

BibTex

@techreport{Bien2006Estim-12224,
  year={2006},
  series={CoFE-Diskussionspapiere / Zentrum für Finanzen und Ökonometrie},
  title={Estimating liquidity using information on the multivariate trading process},
  number={2006/04},
  author={Bien, Katarzyna and Nolte, Ingmar and Pohlmeier, Winfried}
}

RDF

<rdf:RDF
    xmlns:dcterms="http://purl.org/dc/terms/"
    xmlns:dc="http://purl.org/dc/elements/1.1/"
    xmlns:rdf="http://www.w3.org/1999/02/22-rdf-syntax-ns#"
    xmlns:bibo="http://purl.org/ontology/bibo/"
    xmlns:dspace="http://digital-repositories.org/ontologies/dspace/0.1.0#"
    xmlns:foaf="http://xmlns.com/foaf/0.1/"
    xmlns:void="http://rdfs.org/ns/void#"
    xmlns:xsd="http://www.w3.org/2001/XMLSchema#" > 
  <rdf:Description rdf:about="https://kops.uni-konstanz.de/server/rdf/resource/123456789/12224">
    <dcterms:title>Estimating liquidity using information on the multivariate trading process</dcterms:title>
    <dc:language>eng</dc:language>
    <dc:contributor>Bien, Katarzyna</dc:contributor>
    <dc:creator>Bien, Katarzyna</dc:creator>
    <void:sparqlEndpoint rdf:resource="http://localhost/fuseki/dspace/sparql"/>
    <dcterms:isPartOf rdf:resource="https://kops.uni-konstanz.de/server/rdf/resource/123456789/46"/>
    <dc:contributor>Pohlmeier, Winfried</dc:contributor>
    <dcterms:hasPart rdf:resource="https://kops.uni-konstanz.de/bitstream/123456789/12224/1/dp06_04.pdf"/>
    <dcterms:rights rdf:resource="http://creativecommons.org/licenses/by-nc-nd/2.0/"/>
    <dspace:isPartOfCollection rdf:resource="https://kops.uni-konstanz.de/server/rdf/resource/123456789/46"/>
    <dc:contributor>Nolte, Ingmar</dc:contributor>
    <dcterms:abstract xml:lang="eng">In this paper we model the dynamic multivariate density of discrete bid and ask quote changes and their associated depths. We account for the contemporaneous relationship between these trading marks by exploiting the concept of copula functions. Thereby we show how to model truncations of the multivariate density in an easy way. A Metropolized-Independence Sampler is applied to draw from the dynamic multivariate density. The samples drawn serve to construct the dynamic density function of the quote slope liquidity measure, which enables us to quantify time varying liquidity risk. We analyze the influence of the decimalization at the NYSE on liquidity.</dcterms:abstract>
    <dc:format>application/pdf</dc:format>
    <dc:creator>Pohlmeier, Winfried</dc:creator>
    <dspace:hasBitstream rdf:resource="https://kops.uni-konstanz.de/bitstream/123456789/12224/1/dp06_04.pdf"/>
    <dc:rights>Attribution-NonCommercial-NoDerivs 2.0 Generic</dc:rights>
    <dcterms:available rdf:datatype="http://www.w3.org/2001/XMLSchema#dateTime">2011-03-25T09:43:36Z</dcterms:available>
    <dc:creator>Nolte, Ingmar</dc:creator>
    <dc:date rdf:datatype="http://www.w3.org/2001/XMLSchema#dateTime">2011-03-25T09:43:36Z</dc:date>
    <dcterms:issued>2006</dcterms:issued>
    <bibo:uri rdf:resource="http://kops.uni-konstanz.de/handle/123456789/12224"/>
    <foaf:homepage rdf:resource="http://localhost:8080/"/>
  </rdf:Description>
</rdf:RDF>

Universitätsbibliographie

Ja