Lit and Dark Liquidity with Lost Time Data: Interlinked Trading Venues around the Global Financial Crisis
by
T. Vuorenmaa
Book Details
Format
Hardback or Cased Book
ISBN-10
1137432608
ISBN-13
9781137432605
Publisher
Palgrave Macmillan
Imprint
Palgrave Macmillan
Country of Manufacture
GB
Country of Publication
GB
Publication Date
Mar 12th, 2014
Print length
75 Pages
Weight
252 grams
Dimensions
22.40 x 14.40 x 1.20 cms
Ksh 8,100.00
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Since the 2008 financial crisis, researchers and policy makers have been looking to empirical data to distil both what happened and how a similar event can be avoided in the future. In Lit and Dark Liquidity with Lost Time Data, Vuorenmaa analyses liquidity to better understand the crux of the financial crisis.
Since the 2008 financial crisis, researchers and policy makers have been looking to empirical data to distil both what happened and how a similar event can be avoided in the future. In Lit and Dark Liquidity with Lost Time Data, Vuorenmaa analyses liquidity to better understand the crux of the financial crisis. By relating liquidity to jump activity, market microstructure noise variance, and average pairwise correlation, Vuorenmaa uncovers the dynamics and ramifications behind anonymous trades made outside of public exchanges, and measures its impact on the crisis. This volume is ideal for academics, students, and practitioners alike, who are interested in investigating the role of lost time in and after the recession.
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