【预订】Lit and Dark Liquidity with Lost Time Data: Interlinked
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/ 2014-03-12
Product Details 基本信息 ISBN-13 书号 9781349492473 Author 作者 Vuorenmaa Format 版本 平装-胶订 Pages Number 页数 75页 Publisher 出版社 Palgrave Macmillan Publication Date 出版日期 2014-03-12 Product Dimensions 商品尺寸 8.5 x 5.5 x 0.1 cm Shipping Weight 商品重量 131g Language 语种 英语 Book Contents 内容简介 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 i
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