Liquidity in the German stock market: an analysis using order book data
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Buch |
| Sprache: | German |
| Veröffentlicht: |
Marburg
Tectum-Verl.
2007
|
| Schlagworte: | |
| Online-Zugang: | Inhaltstext Inhaltsverzeichnis |
| Beschreibung: | Zugl.: Frankfurt am Main, Univ., Diss., 2004 |
| Beschreibung: | V, 140 S. graph. Darst. 210 mm x 148 mm |
| ISBN: | 9783828893696 3828893694 |
Internformat
MARC
| LEADER | 00000nam a2200000 c 4500 | ||
|---|---|---|---|
| 001 | BV022718108 | ||
| 003 | DE-604 | ||
| 005 | 20071130 | ||
| 007 | t | ||
| 008 | 070906s2007 gw d||| m||| 00||| ger d | ||
| 015 | |a 07,N33,0237 |2 dnb | ||
| 016 | 7 | |a 985047070 |2 DE-101 | |
| 020 | |a 9783828893696 |c Pb. : EUR 24.90, EUR 24.90 (AT), sfr 43.70 |9 978-3-8288-9369-6 | ||
| 020 | |a 3828893694 |c Pb. : EUR 24.90, EUR 24.90 (AT), sfr 43.70 |9 3-8288-9369-4 | ||
| 024 | 3 | |a 9783828893696 | |
| 028 | 5 | 2 | |a 9369 |
| 035 | |a (OCoLC)543739360 | ||
| 035 | |a (DE-599)DNB985047070 | ||
| 040 | |a DE-604 |b ger |e rakddb | ||
| 041 | 0 | |a ger | |
| 044 | |a gw |c XA-DE-HE | ||
| 049 | |a DE-355 |a DE-703 | ||
| 050 | 0 | |a HG5492 | |
| 082 | 0 | |a 332.642 |2 22/ger | |
| 084 | |a QK 650 |0 (DE-625)141674: |2 rvk | ||
| 084 | |a 330 |2 sdnb | ||
| 100 | 1 | |a Klimes, Micong |e Verfasser |4 aut | |
| 245 | 1 | 0 | |a Liquidity in the German stock market |b an analysis using order book data |c Micong Klimes |
| 264 | 1 | |a Marburg |b Tectum-Verl. |c 2007 | |
| 300 | |a V, 140 S. |b graph. Darst. |c 210 mm x 148 mm | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 500 | |a Zugl.: Frankfurt am Main, Univ., Diss., 2004 | ||
| 650 | 4 | |a Liquidity (Economics) | |
| 650 | 4 | |a Stock exchanges |z Germany | |
| 650 | 0 | 7 | |a Liquidität |0 (DE-588)4035908-6 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Aktienmarkt |0 (DE-588)4130931-5 |2 gnd |9 rswk-swf |
| 651 | 4 | |a Deutschland | |
| 651 | 7 | |a Deutschland |0 (DE-588)4011882-4 |2 gnd |9 rswk-swf | |
| 655 | 7 | |0 (DE-588)4113937-9 |a Hochschulschrift |2 gnd-content | |
| 689 | 0 | 0 | |a Deutschland |0 (DE-588)4011882-4 |D g |
| 689 | 0 | 1 | |a Aktienmarkt |0 (DE-588)4130931-5 |D s |
| 689 | 0 | 2 | |a Liquidität |0 (DE-588)4035908-6 |D s |
| 689 | 0 | |5 DE-604 | |
| 856 | 4 | 2 | |q text/html |u http://deposit.dnb.de/cgi-bin/dokserv?id=2987370&prov=M&dok_var=1&dok_ext=htm |3 Inhaltstext |
| 856 | 4 | 2 | |m Digitalisierung UB Regensburg |q application/pdf |u http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=015923871&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |3 Inhaltsverzeichnis |
| 943 | 1 | |a oai:aleph.bib-bvb.de:BVB01-015923871 | |
Datensatz im Suchindex
| _version_ | 1805089360140304384 |
|---|---|
| adam_text |
Contents
1
Introduction
1
2 Data
Description
5
2.1
The Electronic Trading System XETRA
. 6
2.2
Descriptive Statistics
. 11
2.2.1
The
DAX
segment
. 11
2.2.2
Two Representative Stocks: Siemens and MAN
15
3
Choosing the Appropriate Liquidity Measure
19
3.1
Introduction
. 19
3.2
Four Criteria for an Appropriate Measure
. 21
3.3
Discussion of Different Liquidity Measures
. 25
3.3.1
Conventional Measures
. 25
3.3.2
The Cost of IUiquidity (Col)
. 28
3.3.2.1
Matching the Four Criteria
. 28
3.3.2.2
Choosing the Reference Volume
. 29
3.4
Comparing Different Liquidity Measures
. 35
3.4.1
Correlations Between the Col at Different EUR
volumes
. 36
iii
CONTENTS
3.4.2
Correlations between the Col and Traditional
Measures
. 42
3.4.3
Conclusions
. 46
3.5
The Extended Spread
. 47
3.5.1
Construction and Discussion
. 47
3.5.2
The Extended Spread and the XETRA Liqui¬
dity Measure
. 50
3.6
Summary
. 52
4
Stochastic Liquidity Processes
55
4.1
Introduction
. 55
4.2
Nonparametric Density Estimation
. 58
4.2.1
General Idea
. 58
4.2.2
Testing Technique of
Aït-Sahalia
. 60
4.3
Empirical Analysis
. 65
4.3.1
Times Series of Liquidity
. 66
4.3.2
Results
. 70
4.3.2.1
Marginal Density
. 70
4.3.2.2
Transition Density
. 75
4.4
Conclusions and Further Research
. 79
5
Components of the Spread
82
5.1
Introduction
. 82
5.2
Applying Market Maker Theory to Order Book Data
. 84
5.3
The Model
. 87
5.3.1
Two-Way Decomposition
. 88
CONTENTS
5.3.2
Three-Way Decomposition
. 92
5.3.3
Extension
. 93
5.4
Empirical Analysis
. 96
5.4.1
Hypotheses
. 96
5.4.2
Two-Way Decomposition
. 97
5.4.3
Three-Way Decomposition
. 105
5.5
Conclusions and Further Research
.
Ill
6
Summary
114
A Tables
120
Bibliography
131
List of Tables
135
List of Figures
139 |
| adam_txt |
Contents
1
Introduction
1
2 Data
Description
5
2.1
The Electronic Trading System XETRA
. 6
2.2
Descriptive Statistics
. 11
2.2.1
The
DAX
segment
. 11
2.2.2
Two Representative Stocks: Siemens and MAN
15
3
Choosing the Appropriate Liquidity Measure
19
3.1
Introduction
. 19
3.2
Four Criteria for an Appropriate Measure
. 21
3.3
Discussion of Different Liquidity Measures
. 25
3.3.1
Conventional Measures
. 25
3.3.2
The Cost of IUiquidity (Col)
. 28
3.3.2.1
Matching the Four Criteria
. 28
3.3.2.2
Choosing the Reference Volume
. 29
3.4
Comparing Different Liquidity Measures
. 35
3.4.1
Correlations Between the Col at Different EUR
volumes
. 36
iii
CONTENTS
3.4.2
Correlations between the Col and Traditional
Measures
. 42
3.4.3
Conclusions
. 46
3.5
The Extended Spread
. 47
3.5.1
Construction and Discussion
. 47
3.5.2
The Extended Spread and the XETRA Liqui¬
dity Measure
. 50
3.6
Summary
. 52
4
Stochastic Liquidity Processes
55
4.1
Introduction
. 55
4.2
Nonparametric Density Estimation
. 58
4.2.1
General Idea
. 58
4.2.2
Testing Technique of
Aït-Sahalia
. 60
4.3
Empirical Analysis
. 65
4.3.1
Times Series of Liquidity
. 66
4.3.2
Results
. 70
4.3.2.1
Marginal Density
. 70
4.3.2.2
Transition Density
. 75
4.4
Conclusions and Further Research
. 79
5
Components of the Spread
82
5.1
Introduction
. 82
5.2
Applying Market Maker Theory to Order Book Data
. 84
5.3
The Model
. 87
5.3.1
Two-Way Decomposition
. 88
CONTENTS
5.3.2
Three-Way Decomposition
. 92
5.3.3
Extension
. 93
5.4
Empirical Analysis
. 96
5.4.1
Hypotheses
. 96
5.4.2
Two-Way Decomposition
. 97
5.4.3
Three-Way Decomposition
. 105
5.5
Conclusions and Further Research
.
Ill
6
Summary
114
A Tables
120
Bibliography
131
List of Tables
135
List of Figures
139 |
| any_adam_object | 1 |
| any_adam_object_boolean | 1 |
| author | Klimes, Micong |
| author_facet | Klimes, Micong |
| author_role | aut |
| author_sort | Klimes, Micong |
| author_variant | m k mk |
| building | Verbundindex |
| bvnumber | BV022718108 |
| callnumber-first | H - Social Science |
| callnumber-label | HG5492 |
| callnumber-raw | HG5492 |
| callnumber-search | HG5492 |
| callnumber-sort | HG 45492 |
| callnumber-subject | HG - Finance |
| classification_rvk | QK 650 |
| ctrlnum | (OCoLC)543739360 (DE-599)DNB985047070 |
| dewey-full | 332.642 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.642 |
| dewey-search | 332.642 |
| dewey-sort | 3332.642 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| discipline_str_mv | Wirtschaftswissenschaften |
| format | Book |
| fullrecord | <?xml version="1.0" encoding="UTF-8"?><collection xmlns="http://www.loc.gov/MARC21/slim"><record><leader>00000nam a2200000 c 4500</leader><controlfield tag="001">BV022718108</controlfield><controlfield tag="003">DE-604</controlfield><controlfield tag="005">20071130</controlfield><controlfield tag="007">t</controlfield><controlfield tag="008">070906s2007 gw d||| m||| 00||| ger d</controlfield><datafield tag="015" ind1=" " ind2=" "><subfield code="a">07,N33,0237</subfield><subfield code="2">dnb</subfield></datafield><datafield tag="016" ind1="7" ind2=" "><subfield code="a">985047070</subfield><subfield code="2">DE-101</subfield></datafield><datafield tag="020" ind1=" " ind2=" "><subfield code="a">9783828893696</subfield><subfield code="c">Pb. : EUR 24.90, EUR 24.90 (AT), sfr 43.70</subfield><subfield code="9">978-3-8288-9369-6</subfield></datafield><datafield tag="020" ind1=" " ind2=" "><subfield code="a">3828893694</subfield><subfield code="c">Pb. : EUR 24.90, EUR 24.90 (AT), sfr 43.70</subfield><subfield code="9">3-8288-9369-4</subfield></datafield><datafield tag="024" ind1="3" ind2=" "><subfield code="a">9783828893696</subfield></datafield><datafield tag="028" ind1="5" ind2="2"><subfield code="a">9369</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(OCoLC)543739360</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(DE-599)DNB985047070</subfield></datafield><datafield tag="040" ind1=" " ind2=" "><subfield code="a">DE-604</subfield><subfield code="b">ger</subfield><subfield code="e">rakddb</subfield></datafield><datafield tag="041" ind1="0" ind2=" "><subfield code="a">ger</subfield></datafield><datafield tag="044" ind1=" " ind2=" "><subfield code="a">gw</subfield><subfield code="c">XA-DE-HE</subfield></datafield><datafield tag="049" ind1=" " ind2=" "><subfield code="a">DE-355</subfield><subfield code="a">DE-703</subfield></datafield><datafield tag="050" ind1=" " ind2="0"><subfield code="a">HG5492</subfield></datafield><datafield tag="082" ind1="0" ind2=" "><subfield code="a">332.642</subfield><subfield code="2">22/ger</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">QK 650</subfield><subfield code="0">(DE-625)141674:</subfield><subfield code="2">rvk</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">330</subfield><subfield code="2">sdnb</subfield></datafield><datafield tag="100" ind1="1" ind2=" "><subfield code="a">Klimes, Micong</subfield><subfield code="e">Verfasser</subfield><subfield code="4">aut</subfield></datafield><datafield tag="245" ind1="1" ind2="0"><subfield code="a">Liquidity in the German stock market</subfield><subfield code="b">an analysis using order book data</subfield><subfield code="c">Micong Klimes</subfield></datafield><datafield tag="264" ind1=" " ind2="1"><subfield code="a">Marburg</subfield><subfield code="b">Tectum-Verl.</subfield><subfield code="c">2007</subfield></datafield><datafield tag="300" ind1=" " ind2=" "><subfield code="a">V, 140 S.</subfield><subfield code="b">graph. Darst.</subfield><subfield code="c">210 mm x 148 mm</subfield></datafield><datafield tag="336" ind1=" " ind2=" "><subfield code="b">txt</subfield><subfield code="2">rdacontent</subfield></datafield><datafield tag="337" ind1=" " ind2=" "><subfield code="b">n</subfield><subfield code="2">rdamedia</subfield></datafield><datafield tag="338" ind1=" " ind2=" "><subfield code="b">nc</subfield><subfield code="2">rdacarrier</subfield></datafield><datafield tag="500" ind1=" " ind2=" "><subfield code="a">Zugl.: Frankfurt am Main, Univ., Diss., 2004</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Liquidity (Economics)</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Stock exchanges</subfield><subfield code="z">Germany</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Liquidität</subfield><subfield code="0">(DE-588)4035908-6</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Aktienmarkt</subfield><subfield code="0">(DE-588)4130931-5</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="651" ind1=" " ind2="4"><subfield code="a">Deutschland</subfield></datafield><datafield tag="651" ind1=" " ind2="7"><subfield code="a">Deutschland</subfield><subfield code="0">(DE-588)4011882-4</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="655" ind1=" " ind2="7"><subfield code="0">(DE-588)4113937-9</subfield><subfield code="a">Hochschulschrift</subfield><subfield code="2">gnd-content</subfield></datafield><datafield tag="689" ind1="0" ind2="0"><subfield code="a">Deutschland</subfield><subfield code="0">(DE-588)4011882-4</subfield><subfield code="D">g</subfield></datafield><datafield tag="689" ind1="0" ind2="1"><subfield code="a">Aktienmarkt</subfield><subfield code="0">(DE-588)4130931-5</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2="2"><subfield code="a">Liquidität</subfield><subfield code="0">(DE-588)4035908-6</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2=" "><subfield code="5">DE-604</subfield></datafield><datafield tag="856" ind1="4" ind2="2"><subfield code="q">text/html</subfield><subfield code="u">http://deposit.dnb.de/cgi-bin/dokserv?id=2987370&prov=M&dok_var=1&dok_ext=htm</subfield><subfield code="3">Inhaltstext</subfield></datafield><datafield tag="856" ind1="4" ind2="2"><subfield code="m">Digitalisierung UB Regensburg</subfield><subfield code="q">application/pdf</subfield><subfield code="u">http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=015923871&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA</subfield><subfield code="3">Inhaltsverzeichnis</subfield></datafield><datafield tag="943" ind1="1" ind2=" "><subfield code="a">oai:aleph.bib-bvb.de:BVB01-015923871</subfield></datafield></record></collection> |
| genre | (DE-588)4113937-9 Hochschulschrift gnd-content |
| genre_facet | Hochschulschrift |
| geographic | Deutschland Deutschland (DE-588)4011882-4 gnd |
| geographic_facet | Deutschland |
| id | DE-604.BV022718108 |
| illustrated | Illustrated |
| index_date | 2024-07-02T18:29:08Z |
| indexdate | 2024-07-20T09:22:40Z |
| institution | BVB |
| isbn | 9783828893696 3828893694 |
| language | German |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-015923871 |
| oclc_num | 543739360 |
| open_access_boolean | |
| owner | DE-355 DE-BY-UBR DE-703 |
| owner_facet | DE-355 DE-BY-UBR DE-703 |
| physical | V, 140 S. graph. Darst. 210 mm x 148 mm |
| publishDate | 2007 |
| publishDateSearch | 2007 |
| publishDateSort | 2007 |
| publisher | Tectum-Verl. |
| record_format | marc |
| spelling | Klimes, Micong Verfasser aut Liquidity in the German stock market an analysis using order book data Micong Klimes Marburg Tectum-Verl. 2007 V, 140 S. graph. Darst. 210 mm x 148 mm txt rdacontent n rdamedia nc rdacarrier Zugl.: Frankfurt am Main, Univ., Diss., 2004 Liquidity (Economics) Stock exchanges Germany Liquidität (DE-588)4035908-6 gnd rswk-swf Aktienmarkt (DE-588)4130931-5 gnd rswk-swf Deutschland Deutschland (DE-588)4011882-4 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content Deutschland (DE-588)4011882-4 g Aktienmarkt (DE-588)4130931-5 s Liquidität (DE-588)4035908-6 s DE-604 text/html http://deposit.dnb.de/cgi-bin/dokserv?id=2987370&prov=M&dok_var=1&dok_ext=htm Inhaltstext Digitalisierung UB Regensburg application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=015923871&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Klimes, Micong Liquidity in the German stock market an analysis using order book data Liquidity (Economics) Stock exchanges Germany Liquidität (DE-588)4035908-6 gnd Aktienmarkt (DE-588)4130931-5 gnd |
| subject_GND | (DE-588)4035908-6 (DE-588)4130931-5 (DE-588)4011882-4 (DE-588)4113937-9 |
| title | Liquidity in the German stock market an analysis using order book data |
| title_auth | Liquidity in the German stock market an analysis using order book data |
| title_exact_search | Liquidity in the German stock market an analysis using order book data |
| title_exact_search_txtP | Liquidity in the German stock market an analysis using order book data |
| title_full | Liquidity in the German stock market an analysis using order book data Micong Klimes |
| title_fullStr | Liquidity in the German stock market an analysis using order book data Micong Klimes |
| title_full_unstemmed | Liquidity in the German stock market an analysis using order book data Micong Klimes |
| title_short | Liquidity in the German stock market |
| title_sort | liquidity in the german stock market an analysis using order book data |
| title_sub | an analysis using order book data |
| topic | Liquidity (Economics) Stock exchanges Germany Liquidität (DE-588)4035908-6 gnd Aktienmarkt (DE-588)4130931-5 gnd |
| topic_facet | Liquidity (Economics) Stock exchanges Germany Liquidität Aktienmarkt Deutschland Hochschulschrift |
| url | http://deposit.dnb.de/cgi-bin/dokserv?id=2987370&prov=M&dok_var=1&dok_ext=htm http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=015923871&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| work_keys_str_mv | AT klimesmicong liquidityinthegermanstockmarketananalysisusingorderbookdata |