AN ANALYSIS OF THE SUPPLY CURVE FOR LIQUIDITY RISK THROUGH BOOK DATA

DOI10.1142/S0219024910006017zbMath1194.91197OpenAlexW2084107016MaRDI QIDQ2786341

Marcel Blais, Philip E. Protter

Publication date: 21 September 2010

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024910006017

zbMATH Keywords

optionarbitragesemimartingaleliquidity risksupply curvehedging risk

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (13)

IMPLICIT TRANSACTION COSTS AND THE FUNDAMENTAL THEOREMS OF ASSET PRICING ⋮ Drift dependence of optimal trade execution strategies under transient price impact ⋮ Liquidity Induced Asset Bubbles via Flows of ELMMs ⋮ A limit order book model for latency arbitrage ⋮ Risk measuring under liquidity risk ⋮ Signing trades and an evaluation of the Lee-Ready algorithm ⋮ Liquidity risk, price impacts and the replication problem ⋮ OPTIMAL EXECUTION COST FOR LIQUIDATION THROUGH A LIMIT ORDER MARKET ⋮ A Mathematical Theory of Financial Bubbles ⋮ Liquidity Suppliers and High Frequency Trading ⋮ RESILIENT PRICE IMPACT OF TRADING AND THE COST OF ILLIQUIDITY ⋮ Reduced form modeling of limit order markets ⋮ A liquidity-based model for asset price bubbles

Cites Work

• Editorial: 20th anniversary of Finance and Stochastics
• Price functionals with bid-ask spreads: An axiomatic approach
• Liquidity risk and arbitrage pricing theory
• Continuous Auctions and Insider Trading

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