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An tahlil Of Order Submissions On The Xetra Trading System

An tahlil Of Order Submissions On The Xetra Trading System Book Description Using an innovative empirical methodology we analyze trad ing activity and liquidity supply in an open limit order book market and test a variety of ypotheses put forth by market microstructure theory. We study how the state of the limit order book, i.e. liquidity supply, as […]

تاریخ : فوریه 10th, 2013

Giot And Grammig-How Large Is Liquidity Risk In An Automated Auction Market

Auction Market We introduce a new empirical methodology that takes account of liquidity risk in a Value-at-Risk framework, and quantify liquidity risk premiums for portfolios and individual stocks traded on the auto mated \auction market Xetra which oper-ates at various European exchanges. When constructing liquidity risk measures we allow for the potential price impact incurred […]

تاریخ : مارس 23rd, 0887

How Large Is Liquidity Risk In An Automated

Liquidity Risk We introduce a new empirical methodology that takes account of \liquidity risk in a Value-at-Risk framework, and quantify \liquidity risk premiums for portfolios a n d individual stocks traded on the automated auction market Xetra which operates at various European exchange s. When constructing liquidity risk measures we allow for the potential price […]

تاریخ : مارس 23rd, 0846