Market and Liquidity Risks Using Transaction-by-Transaction Information
| Autor: | Eva M. Ibáñez Jiménez, Ana I. Segovia San Juan, Mariano González-Sánchez |
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| Jazyk: | angličtina |
| Rok vydání: | 2021 |
| Předmět: |
volume
050208 finance General Mathematics 05 social sciences liquidity risk Liquidity risk Asset (computer security) 01 natural sciences Market liquidity 010104 statistics & probability Market risk Simulated data 0502 economics and business Market data Computer Science (miscellaneous) Econometrics Economics QA1-939 0101 mathematics Engineering (miscellaneous) Database transaction trade Capitalization intraday frequency Mathematics |
| Zdroj: | Mathematics, Vol 9, Iss 1678, p 1678 (2021) Mathematics Volume 9 Issue 14 |
| ISSN: | 2227-7390 |
| Popis: | The usual measures of market risk are based on the axiom of positive homogeneity while neglecting an important element of market information—liquidity. To analyze the effects of this omission, in the present study, we define the behavior of prices and volume via stochastic processes subordinated to the time elapsing between two consecutive transactions in the market. Using simulated data and market data from companies of different sizes and capitalization levels, we compare the results of measuring risk using prices compared to using both prices and volumes. The results indicate that traditional measures of market risk behave inversely to the degree of liquidity of the asset, thereby underestimating the risk of liquid assets and overestimating the risk of less liquid assets. |
| Databáze: | OpenAIRE |
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