Liquidity in financial markets

本项目旨在发展一种理论，模拟不同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，并影响经济。在重大金融危机期间或之后，市场流动性通常会变得有风险，需要加以研究。本研究将透过实证与理论探讨，量化与衡量流动性风险及其对选择权市场之影响。它将制定一个框架，以帮助市场监管机构管理流动性不足，提高流动性不足市场中期权交易的效率，并帮助发现市场操纵行为。

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.