Liquidity risk in limit order book markets:
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Abschlussarbeit Elektronisch E-Book |
| Sprache: | German |
| Veröffentlicht: |
2006
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| Schlagworte: | |
| Online-Zugang: | kostenfrei Inhaltsverzeichnis |
| Beschreibung: | 1 Online-Ressource |
Internformat
MARC
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| 502 | |a Köln, Univ., Diss., 2006 | ||
| 650 | 0 | 7 | |a Finanzierung |0 (DE-588)4017182-6 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Buchmarkt |0 (DE-588)4121054-2 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Liquidität |0 (DE-588)4035908-6 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Risiko |0 (DE-588)4050129-2 |2 gnd |9 rswk-swf |
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| 689 | 0 | 1 | |a Finanzierung |0 (DE-588)4017182-6 |D s |
| 689 | 0 | 2 | |a Risiko |0 (DE-588)4050129-2 |D s |
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Datensatz im Suchindex
| _version_ | 1804137048039227392 |
|---|---|
| adam_text | Contents
List of Figures V
List of Tables VIII
List of Abbreviations IX
List of Symbols XI
1 Introduction 1
1.1 Key Issues and Relevance 2
1.2 Contribution to the Literature 6
1.3 Main Results and Procedure 10
2 Liquidity in Limit Order Book Markets 13
2.1 Market Microstructure 13
2.1.1 Price Formation with Market Frictions 14
2.1.2 Elements of a Limit Order Book Market 18
2.2 Static Models of the Limit Order Book 21
2.2.1 Model Assumptions 21
2.2.2 Equilibrium Outcome 23
2.2.3 Implications 26
2.3 Dynamic Models of the Limit Order Book 30
2.3.1 Model Assumptions 31
2.3.2 Equilibrium Outcome 33
2.3.3 Implications 36
2.4 Conclusion 39
T
II Contents
3 Market Structure and Data 43
3.1 Market Structure 43
3.1.1 Xetra Market Model 43
3.1.2 Order Types and Matching Rules 46
3.2 Data Set 49
3.2.1 Order Book Reconstruction 49
3.2.2 Descriptive Statistics 53
4 Resiliency of the Limit Order Book 61
4.1 Introduction to Resiliency 62
4.2 Construction of Liquidity Measures 69
4.3 Framework and Hypotheses 71
4.4 Dynamics of the Limit Order Book 75
4.4.1 Base Estimation of Resiliency 75
4.4.2 Order Book Tick and Time Horizon 78
4.5 Interaction of Resiliency and Microstructural Factors 81
4.5.1 Construction of Microstructure Proxies 81
4.5.2 Impact of Microstructure Proxies on Resiliency 85
4.6 Resiliency in the Cross Section 89
4.7 Relationship with other Liquidity Measures 94
4.8 Conclusion 96
5 Commonality Across Limit Order Books 101
5.1 Introduction 101
5.2 Commonality at Best Prices 105
5.3 Commonality Beyond Best Prices 110
5.3.1 Construction of Liquidity Measures 110
5.3.2 Market Model Results 113
5.3.3 Principal Components Results 119
5.4 Time Variation of Commonality 122
5.4.1 Time of Day 123
5.4.2 Market Momentum 125
5.5 Conclusion 127
Contents III
6 Pricing Effects of Liquidity 131
6.1 Introduction 131
6.2 Liquidity Measures and Pricing Factors 136
6.3 Methodology 139
6.3.1 Fama French Factors 140
6.3.2 Estimation Procedure 143
6.3.3 Potential Errors and Biases 147
6.4 Asset Pricing Test Results 148
6.4.1 Correlation Structure of Pricing Factors 148
6.4.2 Pricing of Liquidity and Liquidity Risk 151
6.5 Robustness Checks 156
6.6 Conclusion 159
7 Conclusion 163
7.1 Main Results 164
7.2 Further Research 167
A Additional Tables 171
B Principal Component Analysis 177
C Order Book Reconstruction 181
Bibliography 189
List of Figures
1.1 Stock and Bond Market Crashes 2
1.2 Rise and Fall of $1 Invested with LTCM 5
2.1 Density and Probability Function of Market Orders 23
2.2 Order Book Schedule and Profit Opportunities 27
3.1 Variation in the Liquidity of the Sample Stocks 54
3.2 Histogram of Market Order Ticks 57
3.3 Time of day Effects 58
5.1 Commonality for Increasing Depth of the Limit Order Book ... 121
T T
List of Tables
3.1 Example of Allianz s Trading Protocol 51
3.2 Summary Statistics of the Data Set Aggregation 53
3.3 Average Order Submissions 56
4.1 Resiliency of Order Book Liquidity 77
4.2 Resiliency at Different Ticks 79
4.3 Resiliency at Different Frequencies 80
4.4 Time Series Impact on Depth Resiliency 86
4.5 Correlation of Cross Sectional Factors and Resiliency 91
4.6 Cross Sectional Impact on Mean Reversion 92
4.7 Correlation of Resiliency Measures 95
5.1 Market Model for Spreads and Depth Individual Stocks .... 107
5.2 Market Model for Spreads and Depth at the Best Limit Prices . . 109
5.3 Market Model for the Extended Depth Measure Individual Stocks 114
5.4 Market Model for Depth at 2.0 % Price Impact 115
5.5 Market Model for the Slope of the Price Quantity Schedule In¬
dividual Stocks 117
5.6 Market Model for the Slope of the Price Impact Function 118
5.7 Market Model for Increasing Depth of the Limit Order Book . . . 120
5.8 PCA Results for the Extended Depth Measures 123
5.9 Impact of the Time of Day 124
5.10 Impact of Market Momemtum 126
6.1 Asset Pricing Inputs 149
6.2 Correlation Structure 150
6.3 Fama MacBeth Asset Pricing Test 152
VII
VIII List of Tables
6.4 Pooled Asset Pricing Test 153
6.5 Asset Pricing Tests with Different Liquidity Measures 157
A.I Descriptive Statistics of Spread and Depth Measures at the Best
Limit Prices in the Limit Order Book 172
A.2 Descriptive Statistics for the Depth of the Order Book at 2% Price
Impact and for the Slope of the Order Book 173
A.3 PCA Results for the Spread and the Slope Measures 174
A.4 Impact of the Time of Day: Slope of the Price Quantity Schedule 174
A.5 Impact of Market Momemtum: Slope of the Price Quantity Sched¬
ule 174
A.6 Relationship between Commonality and Market Return 175
|
| adam_txt |
Contents
List of Figures V
List of Tables VIII
List of Abbreviations IX
List of Symbols XI
1 Introduction 1
1.1 Key Issues and Relevance 2
1.2 Contribution to the Literature 6
1.3 Main Results and Procedure 10
2 Liquidity in Limit Order Book Markets 13
2.1 Market Microstructure 13
2.1.1 Price Formation with Market Frictions 14
2.1.2 Elements of a Limit Order Book Market 18
2.2 Static Models of the Limit Order Book 21
2.2.1 Model Assumptions 21
2.2.2 Equilibrium Outcome 23
2.2.3 Implications 26
2.3 Dynamic Models of the Limit Order Book 30
2.3.1 Model Assumptions 31
2.3.2 Equilibrium Outcome 33
2.3.3 Implications 36
2.4 Conclusion 39
T
II Contents
3 Market Structure and Data 43
3.1 Market Structure 43
3.1.1 Xetra Market Model 43
3.1.2 Order Types and Matching Rules 46
3.2 Data Set 49
3.2.1 Order Book Reconstruction 49
3.2.2 Descriptive Statistics 53
4 Resiliency of the Limit Order Book 61
4.1 Introduction to Resiliency 62
4.2 Construction of Liquidity Measures 69
4.3 Framework and Hypotheses 71
4.4 Dynamics of the Limit Order Book 75
4.4.1 Base Estimation of Resiliency 75
4.4.2 Order Book Tick and Time Horizon 78
4.5 Interaction of Resiliency and Microstructural Factors 81
4.5.1 Construction of Microstructure Proxies 81
4.5.2 Impact of Microstructure Proxies on Resiliency 85
4.6 Resiliency in the Cross Section 89
4.7 Relationship with other Liquidity Measures 94
4.8 Conclusion 96
5 Commonality Across Limit Order Books 101
5.1 Introduction 101
5.2 Commonality at Best Prices 105
5.3 Commonality Beyond Best Prices 110
5.3.1 Construction of Liquidity Measures 110
5.3.2 Market Model Results 113
5.3.3 Principal Components Results 119
5.4 Time Variation of Commonality 122
5.4.1 Time of Day 123
5.4.2 Market Momentum 125
5.5 Conclusion 127
Contents III
6 Pricing Effects of Liquidity 131
6.1 Introduction 131
6.2 Liquidity Measures and Pricing Factors 136
6.3 Methodology 139
6.3.1 Fama French Factors 140
6.3.2 Estimation Procedure 143
6.3.3 Potential Errors and Biases 147
6.4 Asset Pricing Test Results 148
6.4.1 Correlation Structure of Pricing Factors 148
6.4.2 Pricing of Liquidity and Liquidity Risk 151
6.5 Robustness Checks 156
6.6 Conclusion 159
7 Conclusion 163
7.1 Main Results 164
7.2 Further Research 167
A Additional Tables 171
B Principal Component Analysis 177
C Order Book Reconstruction 181
Bibliography 189
List of Figures
1.1 Stock and Bond Market Crashes 2
1.2 Rise and Fall of $1 Invested with LTCM 5
2.1 Density and Probability Function of Market Orders 23
2.2 Order Book Schedule and Profit Opportunities 27
3.1 Variation in the Liquidity of the Sample Stocks 54
3.2 Histogram of Market Order Ticks 57
3.3 Time of day Effects 58
5.1 Commonality for Increasing Depth of the Limit Order Book . 121
T T
List of Tables
3.1 Example of Allianz's Trading Protocol 51
3.2 Summary Statistics of the Data Set Aggregation 53
3.3 Average Order Submissions 56
4.1 Resiliency of Order Book Liquidity 77
4.2 Resiliency at Different Ticks 79
4.3 Resiliency at Different Frequencies 80
4.4 Time Series Impact on Depth Resiliency 86
4.5 Correlation of Cross Sectional Factors and Resiliency 91
4.6 Cross Sectional Impact on Mean Reversion 92
4.7 Correlation of Resiliency Measures 95
5.1 Market Model for Spreads and Depth Individual Stocks . 107
5.2 Market Model for Spreads and Depth at the Best Limit Prices . . 109
5.3 Market Model for the Extended Depth Measure Individual Stocks 114
5.4 Market Model for Depth at 2.0 % Price Impact 115
5.5 Market Model for the Slope of the Price Quantity Schedule In¬
dividual Stocks 117
5.6 Market Model for the Slope of the Price Impact Function 118
5.7 Market Model for Increasing Depth of the Limit Order Book . . . 120
5.8 PCA Results for the Extended Depth Measures 123
5.9 Impact of the Time of Day 124
5.10 Impact of Market Momemtum 126
6.1 Asset Pricing Inputs 149
6.2 Correlation Structure 150
6.3 Fama MacBeth Asset Pricing Test 152
VII
VIII List of Tables
6.4 Pooled Asset Pricing Test 153
6.5 Asset Pricing Tests with Different Liquidity Measures 157
A.I Descriptive Statistics of Spread and Depth Measures at the Best
Limit Prices in the Limit Order Book 172
A.2 Descriptive Statistics for the Depth of the Order Book at 2% Price
Impact and for the Slope of the Order Book 173
A.3 PCA Results for the Spread and the Slope Measures 174
A.4 Impact of the Time of Day: Slope of the Price Quantity Schedule 174
A.5 Impact of Market Momemtum: Slope of the Price Quantity Sched¬
ule 174
A.6 Relationship between Commonality and Market Return 175 |
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| id | DE-604.BV022784872 |
| illustrated | Not Illustrated |
| index_date | 2024-07-02T18:37:40Z |
| indexdate | 2024-07-09T21:06:05Z |
| institution | BVB |
| language | German |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-015990318 |
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| spelling | Mayston, Daniel Verfasser (DE-588)133126749 aut Liquidity risk in limit order book markets vorgelegt von Daniel Mayston 2006 1 Online-Ressource txt rdacontent c rdamedia cr rdacarrier Köln, Univ., Diss., 2006 Finanzierung (DE-588)4017182-6 gnd rswk-swf Buchmarkt (DE-588)4121054-2 gnd rswk-swf Liquidität (DE-588)4035908-6 gnd rswk-swf Risiko (DE-588)4050129-2 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content Buchmarkt (DE-588)4121054-2 s Finanzierung (DE-588)4017182-6 s Risiko (DE-588)4050129-2 s Liquidität (DE-588)4035908-6 s DE-604 601 KB http://kups.ub.uni-koeln.de/volltexte/2007/1918/ kostenfrei Volltext HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=015990318&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Mayston, Daniel Liquidity risk in limit order book markets Finanzierung (DE-588)4017182-6 gnd Buchmarkt (DE-588)4121054-2 gnd Liquidität (DE-588)4035908-6 gnd Risiko (DE-588)4050129-2 gnd |
| subject_GND | (DE-588)4017182-6 (DE-588)4121054-2 (DE-588)4035908-6 (DE-588)4050129-2 (DE-588)4113937-9 |
| title | Liquidity risk in limit order book markets |
| title_auth | Liquidity risk in limit order book markets |
| title_exact_search | Liquidity risk in limit order book markets |
| title_exact_search_txtP | Liquidity risk in limit order book markets |
| title_full | Liquidity risk in limit order book markets vorgelegt von Daniel Mayston |
| title_fullStr | Liquidity risk in limit order book markets vorgelegt von Daniel Mayston |
| title_full_unstemmed | Liquidity risk in limit order book markets vorgelegt von Daniel Mayston |
| title_short | Liquidity risk in limit order book markets |
| title_sort | liquidity risk in limit order book markets |
| topic | Finanzierung (DE-588)4017182-6 gnd Buchmarkt (DE-588)4121054-2 gnd Liquidität (DE-588)4035908-6 gnd Risiko (DE-588)4050129-2 gnd |
| topic_facet | Finanzierung Buchmarkt Liquidität Risiko Hochschulschrift |
| url | http://kups.ub.uni-koeln.de/volltexte/2007/1918/ http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=015990318&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| work_keys_str_mv | AT maystondaniel liquidityriskinlimitorderbookmarkets |