Estimating endogenous liquidity using transaction and order book information:
Gespeichert in:
| Hauptverfasser: | , , |
|---|---|
| Format: | Buch |
| Sprache: | English German |
| Veröffentlicht: |
Frankfurt, M.
Dt. Bundesbank
2012
|
| Schriftenreihe: | Discussion paper / Deutsche Bundesbank
Eurosystem 2012,34 |
| Online-Zugang: | Volltext Inhaltsverzeichnis |
| Beschreibung: | Zsfass. in dt. u. engl. Sprache. - Online-Ausg. im Internet |
| Beschreibung: | 32 S. graph. Darst. |
| ISBN: | 9783865588715 9783865588722 |
Internformat
MARC
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| 020 | |a 9783865588722 |c (Internetversion) |9 978-3-86558-872-2 | ||
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| 245 | 1 | 0 | |a Estimating endogenous liquidity using transaction and order book information |c Philippe Durand ; Yalin Gündüz ; Isabelle Thomazeau |
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| 700 | 1 | |a Thomazeau, Isabelle |e Verfasser |4 aut | |
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| 856 | 4 | 2 | |m HBZ Datenaustausch |q application/pdf |u http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=025508329&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |3 Inhaltsverzeichnis |
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Datensatz im Suchindex
| _version_ | 1804149814214000640 |
|---|---|
| adam_text | Titel: Estimating endogenous liquidity using transaction and order book information
Autor: Durand, Philippe
Jahr: 2012
Contents
1 Introduction 1
2 Defining Endogenous Liquidity 3
3 The Model 5
3.1 General Presentation 5
3.2 Extensions 6
4 Results with Not-Yet-Realized Endogenous Liquidity 7
4.1 Order Book Datasets 7
4.2 Estimation Methodology and Numerical Results for a Single Entity 7
4.2.1 Extraction of Data 8
4.2.2 Estimation of the Liquidity Parameter 8
4.2.3 Descriptive Statistics for Lambda 10
4.2.4 Impact of Endogenous Liquidity 11
4.3 Results for the Full Dataset 11
4.4 Conclusion for Not-Yet-Realized Endogenous Liquidity 12
5 Results with Realized Endogenous Liquidity 13
5.1 Applications to CDS Transactions 14
5.2 CDS Transaction Datasets 14
5.3 Empirical Results 15
6 Conclusion and Implications on Supervision 18
References 21
|
| any_adam_object | 1 |
| author | Durand, Philippe Gündüz, Yalın Thomazeau, Isabelle |
| author_GND | (DE-588)134247825 |
| author_facet | Durand, Philippe Gündüz, Yalın Thomazeau, Isabelle |
| author_role | aut aut aut |
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| bvnumber | BV040681959 |
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| dewey-full | 330 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 330 - Economics |
| dewey-raw | 330 |
| dewey-search | 330 |
| dewey-sort | 3330 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| format | Book |
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| id | DE-604.BV040681959 |
| illustrated | Illustrated |
| indexdate | 2024-07-10T00:29:00Z |
| institution | BVB |
| isbn | 9783865588715 9783865588722 |
| language | English German |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-025508329 |
| oclc_num | 826598405 |
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| owner_facet | DE-355 DE-BY-UBR DE-188 DE-12 DE-945 |
| physical | 32 S. graph. Darst. |
| psigel | ebook |
| publishDate | 2012 |
| publishDateSearch | 2012 |
| publishDateSort | 2012 |
| publisher | Dt. Bundesbank |
| record_format | marc |
| series2 | Discussion paper / Deutsche Bundesbank |
| spelling | Durand, Philippe Verfasser aut Estimating endogenous liquidity using transaction and order book information Philippe Durand ; Yalin Gündüz ; Isabelle Thomazeau Frankfurt, M. Dt. Bundesbank 2012 32 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Discussion paper / Deutsche Bundesbank Eurosystem 2012,34 Zsfass. in dt. u. engl. Sprache. - Online-Ausg. im Internet Gündüz, Yalın Verfasser (DE-588)134247825 aut Thomazeau, Isabelle Verfasser aut Deutsche Bundesbank Discussion paper Eurosystem ; 2012,34 (DE-604)BV040156046 2012,34 http://www.bundesbank.de/Redaktion/EN/Downloads/Publications/Discussion_Paper_1/2012/2012_12_07_dkp_34.pdf?__blob=publicationFile Verlag kostenfrei Volltext HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=025508329&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Durand, Philippe Gündüz, Yalın Thomazeau, Isabelle Estimating endogenous liquidity using transaction and order book information |
| title | Estimating endogenous liquidity using transaction and order book information |
| title_auth | Estimating endogenous liquidity using transaction and order book information |
| title_exact_search | Estimating endogenous liquidity using transaction and order book information |
| title_full | Estimating endogenous liquidity using transaction and order book information Philippe Durand ; Yalin Gündüz ; Isabelle Thomazeau |
| title_fullStr | Estimating endogenous liquidity using transaction and order book information Philippe Durand ; Yalin Gündüz ; Isabelle Thomazeau |
| title_full_unstemmed | Estimating endogenous liquidity using transaction and order book information Philippe Durand ; Yalin Gündüz ; Isabelle Thomazeau |
| title_short | Estimating endogenous liquidity using transaction and order book information |
| title_sort | estimating endogenous liquidity using transaction and order book information |
| url | http://www.bundesbank.de/Redaktion/EN/Downloads/Publications/Discussion_Paper_1/2012/2012_12_07_dkp_34.pdf?__blob=publicationFile http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=025508329&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| volume_link | (DE-604)BV040156046 |
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