Publication
Title
Implied liquidity : towards stochastic liquidity modelling and liquidity trading
Author
Abstract
In this paper the authors introduce the new concept of implied liquidity based on the recent developed two-way price theory (conic finance). Implied liquidity isolates and quantifies liquidity risk in financial markets. It is shown on real market option data on the major US indices how liquidity dried up in the troubled year end of 2008. These investigations open the door to stochastic liquidity modelling, liquidity derivatives and liquidity trading.
Language
English
Source (journal)
International journal of portfolio analysis and management
Publication
2012
Volume/pages
1:1(2012), p. 80-91
Full text (Publishers DOI)
Full text (publishers version - intranet only)
UAntwerpen
Faculty/Department
Publication type
Subject
External links
Record
Identification
Creation 11.03.2014
Last edited 02.09.2016