Mathematical Modelling of Liquidity Risk in Financial Markets

在金融市场中，当大量交易不能总是在任何期望的时间进行交易时(买家和卖家并不总是可用的)，当大量交易的额外成本或流动性溢价不可忽略时，或者当一笔大额交易对价格的影响随着时间的推移持续存在时，股票、债券或大宗商品等资产被称为非流动性资产。当流动性水平在时间上随机演变时，流动性就成为一个风险因素。近年来，限价指令账簿数据的可获得性使流动性风险成为全球许多交易部门关注的焦点。从数学模型的角度来看，只有流动性不足的最后两个维度在学术文献中得到了详细的考虑。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