Title
Implied liquidity : towards stochastic liquidity modelling and liquidity trading
Author
Faculty/Department
Faculty of Sciences. Mathematics and Computer Science
Publication type
article
Publication
Subject
Economics
Mathematics
Source (journal)
International journal of portfolio analysis and management
Volume/pages
1(2012) :1 , p. 80-91
ISSN
2048-2361
Carrier
E
Target language
English (eng)
Full text (Publishers DOI)
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.
E-info
https://repository.uantwerpen.be/docman/iruaauth/09c72b/07b6982.pdf