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Autor:
Mönch, Burkart.
Publikováno v:
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Thesis (doctoral)--Johann Wolfgang Goethe-University, 2004.
Includes bibliographical references.
Includes bibliographical references.
Autor:
Esser, Angelika, Mönch, Burkart
We model the interactions between the trading activities of a large investor, the stock price and the market liquidity. Our framework generalizes the model of Frey (2000), where liquidity is constant by introducing a stochastic liquidity factor. This
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od______1687::7bed0b9a5738ab674311d66c4c369297
https://hdl.handle.net/10419/23404
https://hdl.handle.net/10419/23404
Autor:
Mönch, Burkart
Publikováno v:
Financial Markets & Portfolio Management; Jun2009, Vol. 23 Issue 2, p157-186, 30p, 1 Diagram, 3 Charts, 16 Graphs