Drawdown-based risk indicators for high-frequency financial volumes
Abstract In stock markets, trading volumes serve as a crucial variable, acting as a measure for a security’s liquidity level. To evaluate liquidity risk exposure, we examine the process of volume drawdown and measures of crash-recovery within fluctuating time frames. These moving time windows shield...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
SpringerOpen
2024-02-01
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| Series: | Financial Innovation |
| Subjects: | |
| Online Access: | https://doi.org/10.1186/s40854-023-00593-0 |