The liquidity tag has no wiki summary.
10
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4answers
625 views
Measuring liquidity
While liquidity is one of the key figure of financial markets, It seems to be very difficult to measure. Volume is sometime used as a proxy but can sometimes be completly irrelevant.
Could you point ...
10
votes
5answers
446 views
Is it ever possible that---because of illiquidity---exercising an out-of-the-money option is better than directly buying the stock?
Is there a case, where due to illiquidity, exercising out-of-the-money options could be better than directly buying the stock?
When a stock is too illiquid, there are some costs because of this ...
8
votes
2answers
464 views
Liquidity estimators: VWAP and IS
I am looking for some info on how to estimate liquidity (intraday). I have read some researches and created intraday measurements of liquidity on time yet not on price. What I mean by this is that I ...
6
votes
2answers
264 views
illiquid american options pricing
What are the standard methods to price american call/put options on illiquid underlyings?
6
votes
1answer
304 views
How do you calculate the implied liquidity of an option?
How does one calculate the implied liquidity of a specific option contract given a set of vanilla puts and calls with various strikes and maturities on a single underlying?
6
votes
1answer
168 views
Alternative liquidity measures
I'm going to write the MSc thesis on flight-to-liquidity phenomenon in stock markets and I'm interested in liquidity measures other than Amihud or bid-ask spread.
What are some other popular measures ...
6
votes
2answers
459 views
What quant terms to use to search for papers about “stop-hunting” trading strategies?
Are there any papers about possible trading strategies you can apply when you know where a large cluster of orders is located in the order-book?
These seem to fall in the ...
5
votes
2answers
214 views
How to define and measure liquidity or funding premium in credit markets?
Even companies with just a single non-callable corporate bond outstanding will often have CDS quote spreads that differ from the bond quote spread. During the 2008 crisis, there were dozens of cases ...
5
votes
1answer
341 views
How to model time series of illiquid stocks - 400 observations (transactions) per 8 hours?
How to model time series which are illiquid - 400 observations (transactions) per 8 hours ? Are there models suitable for this situation which incorporate not only size of the transactions but also ...
5
votes
1answer
174 views
Modeling liquidity effect on option prices
What are practically useful ways of modelling the effect of liquidity on options?
5
votes
1answer
263 views
Market making in thinly traded assets
Could anyone suggest some literature or have any practical advice for marking a market in thinly traded assets with the following characteristics:
0-10 trades per day.
Open limit-order book with 0-5 ...
3
votes
1answer
105 views
how to define liquidity in equity, index, and etf options
i've heard several ways to put a metric on liquidity of options.. obviously liquidity isn't a constant.. things like the Bid/Asks spread, liquidity of the underlying.. Trying to find a way to ...
1
vote
1answer
120 views
transaction size and liquidity in simulation of US stocks
i am developing a simulation trading in US stocks.
i have 1 transaction a day per stock, assumed for simplicity to be executed at the daily closing price.
in order to determine a reasonable maximal ...
1
vote
2answers
264 views
definition for “the viscosity” in financial market data series
I am willing to calculate and monitor the evolution of extreme-viscosity in the financial markets data series.
Wikipedia says "Put simply, the less viscous the fluid is, the greater its ease of ...
0
votes
1answer
58 views
Separated software and physical cash flows modelling and pricing to be used with negative interest rates?
The physical cash presence in the final transactions is one of the issues in the presently observed negative interest rates bonds. Such a situation has historically been modelled within the "liquidity ...
-4
votes
0answers
54 views
Arbitrage: Difference Between Liquidity Taking and Liquidity Making [closed]
Liquidity Taking
If X is trading for 22 USD at Exchange-A and 20 USD at Exchange-B, someone can sell their X at ExchangeA and buy back X at Exchange-B for a 2 USD profit.
Liquidity Making
If ...
