Mathematical Modelling of Liquidity Risk in Financial Markets

金融市场流动性风险的数学模型

• 批准号: 402741-2012
• 负责人: Roch, Alexandre
• 金额: $ 1.24万
• 依托单位: Université du Québec à Montréal
• 依托单位国家: 加拿大
• 项目类别: Discovery Grants Program - Individual
• 财政年份: 2013
• 资助国家: 加拿大
• 起止时间: 2013-01-01 至 2014-12-31
• 项目状态: 已结题
• 来源: https://www.nserc-crsng.gc.ca/ase-oro/Details-Detailles_eng.asp?id=529666
• 关键词: Mathematical; Modelling; Liquidity; Risk; Financial

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

在金融市场中，股票、债券或商品等资产在以下情况下被称为非流动性资产：无法在任何预期时间进行大量交易（买方和卖方并不总是可用）;大量交易的额外成本或流动性溢价不可忽略;或大宗交易对价格的影响持续一段时间。当流动性水平随时间随机变化时，流动性就成为一个风险因素。近年来，限价订单簿数据的可用性使流动性风险成为全球许多交易部门的焦点。从数学模型的角度来看，只有最后两个方面的非流动性已被认为是在学术文献的细节。此外，这两个概念通常是