Questions tagged [liquidity]

Liquidity is easy to define qualitatively (the easiness to buy or sell an asset), but difficult to measure.

18 questions with no upvoted or accepted answers
Filter by
Sorted by
Tagged with
3
votes
0answers
77 views

Is there evidence that illiquid stocks, held less by institutions, have more price momentum?

(One of) the standard explanation people gave for momentum is under-reaction of stockholders to firm-specific news. If this is true, then it seems that these stocks should have more momentum, and ...
2
votes
1answer
76 views

Stressing liquidity (time to liquidate) of a long only equity fund using participation rate or bid ask

My company is looking to launch a new long only global equity fund. The product committee wishes to see a risk analysis covering various risks, including liquidity. The main measure is time to ...
2
votes
0answers
76 views

CDS pricing using intensity models incorporating liquidity

I want to price a CDS using an intensity based model, but I want to account for liquidity as well. General model: The default time $\tau$ is the first jump time of a cox process, and the survival ...
2
votes
0answers
103 views

Application of Extreme Value Theory in banking liquidity risk analysis

The regulator forces banks to assess their (intraday) liquidity risk in normal and stressed conditions see e.g. BCBS 144 principle 9. To me this sounds pretty much like a possible application of EVT ...
2
votes
0answers
203 views

What are the best measures of market liquidity?

Does any single metric provide a convenient way to capture depth, breadth, and resiliency, or to distinguish between transitory and persistent effects (i.e. between the stationary and random walk ...
2
votes
0answers
89 views

Charting order depth over time periods

I do a lot of analysis on order flow, tape reading, as it gives insight into what market participants want, or may be willing to do. In comparison, price charts show what happened, and technical ...
1
vote
0answers
33 views

Calculation of Expected Shortfall using IMA Approach ( FRTB)

I am trying to calculate the Expected shortfall of a FX portfolio through IMA Approach of FRTB in excel . I have used several combinations in excel to get the liquidity horizons and then calculate the ...
1
vote
0answers
25 views

cme options volume

I am lookin at https://www.cmegroup.com/trading/interest-rates/stir/eurodollar_quotes_volume_voi.html?foi=O&optionProductId=3#tradeDate=20210312. It says about 16 million in options was traded. ...
1
vote
0answers
43 views

Liquidity measures for Commodities Futures

I would like to find a way to measure Liquidity for Commodities Futures. I found the following 4 papers/definitions: Volume (Share / Dollar) (Dollar Volume Liquidity) Amivest Liquidity Ratio (...
1
vote
1answer
77 views

How do locked markets get resolved in a low-volume market?

Consider a low-volume exchange-traded security that sometimes sees no trading volume for days on end. Examples of such securities are some bonds, preferred shares, SPACs, and ETFs listed on the NYSE ...
1
vote
0answers
186 views

Fama-Macbeth with Liquidity Sorted Portfolios

I'm currently working on a paper in which I'm trying to see whether the liquidity premium is an observable phenomena when taken into the context of computer games. From my research online I've found ...
1
vote
0answers
225 views

what is liquidation value in kyle (1985) model

I am thoroughly reading my first academic literature and I have found myself overwhelmed by terms that have been generalised in my studies. It is from "Continuous Auction and Insider Trading" by ...
1
vote
0answers
148 views

Bond liquidity: why do I observe constant bid-ask spreads?

I hope you can help me. I want to use the bid-ask spread of prices for 10yr treasury notes as a proxy for bond market liquidity. I got monthly aggregated bond price data (for yrs 1999-2013) from ...
1
vote
0answers
208 views

Liquidity horizons of risk factors categories

I'm reading the consultative document of the BCBS on the Fundamental Review of the Trading Book: http://www.bis.org/publ/bcbs265.pdf Table 2 on page 16 shows the liquidity horizons for 5 broad risk ...
1
vote
0answers
88 views

Settlement/Spot/(bid ask spread) ratio

Are there any studies on the average difference or ratio between Settlement (execution price) and the Spot price dependant on lot size. I'm looking for a function such as ...
0
votes
0answers
27 views

Estimating midpoint or realized spread from trade by trade data without order book data

I am looking to estimate the realized spread defined as $$ \text{realized spread} = 2D_k(ln(P_k) - ln(M_{k+5})) $$ Where $D_k$ is 1 for buy transactions and -1 for sell transactions. $P_k$ is the ...
0
votes
0answers
84 views

Spread and outright futures ranked by liquidity

Is there a platform that ranks spread and outright futures by liquidity and/or by volatility?
0
votes
0answers
56 views

What is liquidity seeking?

I heard that liquidity seeking is an opportunistic tactic aiming at sourcing additional liquidity from hidden orders. Could somebody explain this to me please?