Lit and Dark Liquidity with Lost Time Data: Interlinked Trading Venues around the Global Financial Crisis
Business & Finance, Economics, Econometrics, Industries & Professions, Insurance
| Author: | T. Vuorenmaa | ISBN: | 9781137396853 |
| Publisher: | Palgrave Macmillan US | Publication: | March 12, 2014 |
| Imprint: | Palgrave Pivot | Language: | English |
| Author: | T. Vuorenmaa |
| ISBN: | 9781137396853 |
| Publisher: | Palgrave Macmillan US |
| Publication: | March 12, 2014 |
| Imprint: | Palgrave Pivot |
| Language: | English |
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.
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.
