| Autor: |
Avdiu, Kujtim |
| Předmět: |
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| Zdroj: |
Journal of Risk & Financial Management; Sep2023, Vol. 16 Issue 9, p415, 26p |
| Abstrakt: |
This article deals with the identification of a superior forecasting method for market liquidity using a calibrated Heston model for the bid/ask price path simulation instead of a standard Brownian motion, as well as a compound Poisson process and inverse transform sampling for the generation of the bid/ask volume distribution. We show that the simulated trading volumes converge to one single value, which can be used as a liquidity estimator, and find that the calibrated Heston model as well as the inverse transform sampling are superior to both the use of standard Brownian motion and compound Poisson process. [ABSTRACT FROM AUTHOR] |
| Databáze: |
Complementary Index |
| Externí odkaz: |
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