Market and Liquidity Risks Using Transaction-by-Transaction Information
The usual measures of market risk are based on the axiom of positive homogeneity while neglecting an important element of market information—liquidity. To analyze the effects of this omission, in the present study, we define the behavior of prices and volume via stochastic processes subordinated to...
Main Authors: | , , |
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Format: | Article |
Language: | English |
Published: |
MDPI AG
2021-07-01
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Series: | Mathematics |
Subjects: | |
Online Access: | https://www.mdpi.com/2227-7390/9/14/1678 |