Liquidity in financial markets

金融市场的流动性

• 批准号: DP170101227
• 负责人: Prof Song-Ping Zhu
• 金额: $ 25.85万
• 依托单位: University of Wollongong
• 依托单位国家: 澳大利亚
• 项目类别: Discovery Projects
• 财政年份: 2017
• 资助国家: 澳大利亚
• 起止时间: 2017-06-01 至 2021-12-31
• 项目状态: 已结题
• 来源: https://dataportal.arc.gov.au/RGS/Web/Grants/DP170101227
• 关键词: Liquidity; financial; markets

This project aims to develop a theory which models the effect of liquidity on option prices under different market conditions. Economic or financial crises are inevitable and affect economics. During or after a major financial crisis, market liquidity usually becomes risky and needs to be studied. Through both empirical and theoretical explorations, this project will quantify and measure liquidity risk and its effect on the options markets. It will develop a framework to help market regulators manage illiquidity, enhance the efficiency of option trading in illiquid markets and help in the detection of market manipulation.

本项目旨在建立一个理论模型，在不同的市场条件下，流动性对期权价格的影响。经济或金融危机是不可避免的，而且会影响经济。在重大金融危机期间或之后，市场流动性通常变得有风险，需要研究。通过实证和理论探索，本项目将量化和度量流动性风险及其对期权市场的影响。它将制定一个框架，以帮助市场监管机构管理非流动性，提高非流动性市场中期权交易的效率，并帮助发现市场操纵。