Liquidity flows, drawdowns and trading networks in order driven markets: An application to Borsa Istanbul
We empirically analyze the agent based relationship between liquidity flow and downside price formation based on the individual trading network topologies of 20 equities in Borsa Istanbul between 2009/01–2013/12. We apply PageRank Algorithm to extract daily centrality degree in liquidity demand of d...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Elsevier
2018-09-01
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| Series: | Borsa Istanbul Review |
| Online Access: | http://www.sciencedirect.com/science/article/pii/S2214845017300029 |