Market and Liquidity Risks Using Transaction-by-Transaction Information

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...

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Bibliographic Details
Main Authors: Mariano González-Sánchez, Eva M. Ibáñez Jiménez, Ana I. Segovia San Juan
Format: Article
Language:English
Published: MDPI AG 2021-07-01
Series:Mathematics
Subjects:
liquidity risk
volume
trade
intraday frequency
Online Access:https://www.mdpi.com/2227-7390/9/14/1678

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