Analyzing Liquidity and Absorption Limits of Electronic Markets with Volume Durations

Autor:	Wing Lon Ng
Rok vydání:	2008
Předmět:	Wirtschaft Economics Financial econometrics Econometric methods Econometrics of financial markets Copulas Statistical methods Financial time series Market microstructure Quantitative finance Economic Statistics Econometrics Business Informatics Financial Planning Accountancy Wirtschaftsstatistik Ökonometrie Wirtschaftsinformatik Finanzwirtschaft Rechnungswesen Theorieanwendung theory application
Zdroj:	Quantitative Finance, 8, 4, 353-361
Druh dokumentu:	journal article<br />Zeitschriftenartikel
DOI:	10.1080/14697680701545699
Popis:	This paper focuses on the liquidity of electronic stock markets applying a sequential estimation approach of models for volume durations with increasing threshold values. A modified ACD model with a Box-Tukey transformation and a flexible generalized Beta distribution is proposed to capture the changing cluster structure of duration processes. The estimation results with the German XETRA data reveal the market’s absorption limit for high volumes of shares, expanding the time costs of illiquidity when trading these quantities.
Databáze:	SSOAR – Social Science Open Access Repository
Externí odkaz:	http://www.ssoar.info/ssoar/handle/document/22109 Zobrazit plný text záznamu Plný text ve formátu PDF Plný text ve formátu HTML
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