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مجموعه آموزشی جامع فارکس

بایگانی‌ها microstructure theory - مرجع آموزش بازار بورس و فارکس

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