Lit and Dark Liquidity With Lost Time Data - Interlinked Trading Venues Around the Global Financial Crisis

Informationen zum Autor Tommi Vuorenmaa is Head of Research and a founding member of Valo Research and Trading Ltd., an automated trading company based in Helsinki, Finland. At Valo, Vuorenmaa leads trading strategy development with heavy emphasis on research using his expertise in financial econometrics. Klappentext 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 is ideal for academics, students, and practitioners alike, who are interested in investigating the role of lost time in and after the recession. Zusammenfassung 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 is ideal for academics, students, and practitioners alike, who are interested in investigating the role of lost time in and after the recession. Inhaltsverzeichnis 1. Institutional and Regulatory Developments 2. Preliminary Analysis 3. Liquidity Estimation 4. Empirical Analysis 5. Conclusions

Sommario

1. Institutional and Regulatory Developments 2. Preliminary Analysis 3. Liquidity Estimation 4. Empirical Analysis 5. Conclusions

Dettagli sul prodotto

• Autori: T Vuorenmaa, T. Vuorenmaa, Tommi A. Vuorenmaa
• Editore: Palgrave UK
• Lingue: Inglese
• Formato: Copertina rigida
• Pubblicazione: 12.03.2014
• EAN: 9781137432605
• ISBN: 978-1-137-43260-5
• Pagine: 89
• Serie: Palgrave Pivot; Palgrave Pivot
• Categorie: Scienze sociali, diritto, economia > Economia > Economia politica; C, Economic Policy, Economics, Investment Banking, Financial Services, risk management, Securities, Political Economy, Management & management techniques, Management science, Investments and Securities, Investment & securities, Palgrave Economics & Finance Collection, Econometrics, Political Economy and Economic Systems, Political Economy/Economic Systems