Liquidity measures
Approaches to modeling market liquidity
... participants; liquidity measures offer market makers the possibility of being able to more easily separate the informed trades from the ...consequently liquidity providers, are susceptible to ...
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Stock market liquidity and the rights offer paradox
... SEO liquidity -0,3961 -30,9239 -3,5564 -0,2830 -0,1038 ...abnormal liquidity measures such as abnormal spread (model 1), abnormal amihud illiquidity ratio (model 2), rescaled abnormal amihud ...
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Liquidity Contagion : A Look at Emerging Markets
... funding liquidity from market ...market liquidity and their ability to do so depends on their capacity of ...Funding liquidity is binding market liquidity as traders can only provide ...
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Actual share repurchases, timing and liquidity
... of liquidity measures, divided into trade-based measures and order-based measures for trading days with and without ...Trade-based measures include the number of trades and the turnover ...
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Liquidity Contagion. The Emerging Sovereign Debt Markets example
... the liquidity risk, we have to define how to measure it but despite the large number of liquidity measures available 5 , measuring liquidity remains a difficult ...many liquidity ...
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Stock market liquidity and the rights offer paradox
... SEO liquidity -0,3961 -30,9239 -3,5564 -0,2830 -0,1038 ...abnormal liquidity measures such as abnormal spread (model 1), abnormal amihud illiquidity ratio (model 2), rescaled abnormal amihud ...
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Liquidity risk and contagion for liquid funds
... liquidity measures require the use of high-frequency transactions and quotes data, which may not be available for some markets and even more so for emerging ...several liquidity measures ...
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How does the Introduction of an ETF Market with Liquidity Providers Impact the Liquidity of the Underlying Stocks?
... for liquidity consumers remaining in the stock market to split their orders and trade at the best quote, which explains the liquidity improvement observed at the best limit ...in liquidity is ...
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Liquidity, Interbank Network Topology and Bank Capital
... 5. Conclusion Existing literature has thus far neglected to address how the causal relationship between bank liquidity and capital is influenced by its network characteristics. In this paper, I augment traditional ...
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Lecture on Young Measures
... Young measures were originally conceived as ‘generalized curves’ by ...probability measures [Pr, Var, L2], did not interact in any serious way with the calculus of ...Young measures for such ...
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Taylor Rules and liquidity in financial markets
... mined regime. The prevailing period for the accommodative monetary policy corresponds roughly to the first Volcker term and the first half of the 1970s: this evidence is at odds with the established narrative that sees ...
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Need for Speed? Exchange Latency and Liquidity
... which liquidity is ...a liquidity trader arrived, and there was no ...a liquidity trader arrival increases, and the recursive equilibrium therefore implies more rents for HFMs on average, effectively ...
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Consumption with Liquidity Constraints and Habit Formation
... the liquidity constraint is binding, not only the current period but also all the future shadow prices of the liquidity constraint will aect current marginal utility of ...
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Essays on financial institutions capital and liquidity regulation
... 110 (CIBP, 2014). Given this importance and the fact that members' deposits are guaranteed by the regulatory bodies in Canada, credit unions are subject to provincial oversight. In Quebec, for example, the Autorité des ...
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Liquidity, innovation and growth
... To capture the demand for and supply of liquidity in the innovation market, we make two additional assumptions about this market. First, we assume that in the innovation sector agents are anonymous and no form of ...
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Three essays on credit unions : capital, liquidity and lending
... Table 1.2: Correlation matrix of regression variables This table displays the Pearson’s correlation matrix of variables used in the regressions for the entire study period. ASSET is the total value of assets of the ...
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Public spending shocks in a liquidity-constrained economy
... wherein liquidity and wealth e¤ects can be disentangled ...no liquidity role for government bonds, while we precisely seek to understand how the changes in liquidity supply induced by …scal shocks ...
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Essays in Financial Economics: Speculation, Liquidity and Rationing
... risk, liquidity risk and systemic ...of liquidity risk, there are two major ...say liquidity risk in regard of demand deposit is on-the-balance-sheet risks of ...and liquidity risk are ...
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Measures in Mamba
... dimensional measures return integer values. • These measures can be performed on both grids (hexagonal or ...the measures performed on one grid or the other (it is the case for instance for the area) ...
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Comparing Complexity Measures
... Bonami, Olivier, Boyé, Gilles and Henri, Fabiola (2011). Measuring inflectional complexity: French and Mauritian. Paper presented at the Workshop on Quantitative Measures in Morphology and Morphological ...
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