Mathematical Modelling of Liquidity Risk in Financial Markets

在金融市场上，当大量交易不能在任何期望的时间进行（买方和卖方并不总是可用），当大量交易的附加成本或流动性溢价不可忽略，或者当大宗交易对价格的影响持续一段时间时，诸如股票，债券或商品等资产被称为非流动性。当流动性水平随时间随机变化时，它就成为一个风险因素。近年来，由于可以获得限价订单数据，流动性风险已成为全球许多交易部门关注的焦点。从数学建模的角度来看，学术文献中只详细考虑了非流动性的后两个维度。此外，这两个概念通常是

In financial markets, an asset such as a stock, a bond or a commodity is said to be illiquid when large quantities cannot always be traded at any desired time (buyers and sellers are not always available), when the added cost of trading large quantities, or liquidity premium, is non-negligible, or when the impact of a large transaction on prices persists over time. Liquidity becomes a risk factor when its level evolves randomly in time. In recent years, the availability of limit order book data has made liquidity risk the focal point of many trading desks around the world. From a mathematical modelling point of view, only the last two dimensions of illiquidity have been considered in details in the academic literature. Furthermore, these two notions have usually been