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Title:Estimating liquidity using information on the multivariate trading process PDF Logo
Authors:Bien, Katarzyna
Nolte, Ingmar
Pohlmeier, Winfried
Issue Date:2006
Series/Report no.:Discussion paper series // Zentrum für Finanzen und Ökonometrie, Universität Konstanz 2006,04
Abstract:In this paper we model the dynamic multivariate density of discrete bid and ask quote changes and their associated depths. We account for the contemporaneous relationship between these trading marks by exploiting the concept of copula functions. Thereby we show how to model truncations of the multivariate density in an easy way. A Metropolized-Independence Sampler is applied to draw from the dynamic multivariate density. The samples drawn serve to construct the dynamic density function of the quote slope liquidity measure, which enables us to quantify time varying liquidity risk. We analyze the influence of the decimalization at the NYSE on liquidity.
Subjects:Liquidity
Copula Functions
Trading Process
Decimalization
Metropolized-Independence Sampler
JEL:G10
F30
C30
Persistent Identifier of the first edition:urn:nbn:de:bsz:352-opus-32330
Document Type:Working Paper
Appears in Collections:CoFE-Diskussionspapiere, Universität Konstanz

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