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: 2019
• 资助国家: 加拿大
• 起止时间: 2019-01-01 至 2020-12-31
• 项目状态: 已结题
• 来源: https://www.nserc-crsng.gc.ca/ase-oro/Details-Detailles_eng.asp?id=675836
• 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 beentreated very differently and few connections have been made between them. Many times in the literature, it has been found that a realistic model can lead to realistic solutions only if it properly integrates all dimensions of liquidity. The broad objective of this research program is to develop a useful mathematical model of the three dimensions of liquidity based on quantities that can be observed or estimated in practice and investigate the relations and the impact of each dimension by considering various pricing and optimal portfolio problems.

在金融市场中，当不能总是在任何期望的时间交易大量时（买卖双方总是可用），当大量交易的股票或流动性溢价的附加成本是不合理的，或者当大量交易对价格的影响持续时间越来越多。流动性成为危险因素，当时其水平随着时间的及时而随机发展。近年来，限制订单数据的可用性使流动性风险成为世界上许多交易台的焦点。从数学建模的角度来看，仅在学术文献中详细考虑了流动性的最后两个维度。此外，这两个概念通常截然不同，它们之间几乎没有联系。在文献中很多时候，已经发现，仅当正确整合流动性的所有方面时，现实的模型才能导致现实解决方案。该研究计划的广泛目的是根据数量来开发流动性三个维度的有用数学模型，这些数量可以在实践中观察或估算，并通过考虑各种定价和最佳投资组合问题来研究每个维度的关系和影响。