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Quantitative Finance

Questions tagged [liquidity]

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Liquidity is easy to define qualitatively (the easiness to buy or sell an asset), but difficult to measure.

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I am trying to price american options on commodity futures by simulation - with the inclusion of a stochastic liquidity variable which affects both the drift and diffusion. My main question is: I have ...
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Can anyone help me by providing ideas and references for the following problem ? I'm working on a certain currency pair USD/X where X is not a highly traded currency. I'm supposed to implement a model ...
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I am looking at bonds where some are more liquid than others, in that some bonds have a much higher volume than others. If I am holding a bond X with more liquidity than bond Y, but X and Y receive ...
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I see that Bloomberg provides SPX index volatility surface values for option tenors up to and including 5 years. I used option tenors of up to 2 years in the past (over five years ago) when I worked ...
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I know there are other questions that address this, but I'm a little confused on the intuition. For ex, say bid is 100, the weighted mid is 100.4, and the ask is 101. I want to sell now, so I aggress ...
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I'm currently studying a simple market model with an asset $S$ whose price follows a geometric Brownian motion ($dS_t=S_t(μdt+σdW_t)$) and a risk-free asset $B$ ($dB_t=B_trdt$) over a finite horizon $...
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How does a bank assess the liquidity of OTC derivatives such as swaps, options, and forwards, for which there isn't public data regarding trading volume?
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Thought asking around on a problem I'm currently facing. I have a hypothetical multi-asset portfolio of equities and bonds, on which I'm trying to measure it's liquidity risk in stressed periods. I've ...
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I have one question regarding the liquidity rebate that liquidity providers receive. I've read on investopedia that it refers to the traders/investors who place limit orders since they then "...
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I'm interested in modeling NFT Floor Price. Specifically, I'm trying to answer the question: Given current bid-ask info on an NFT collection, what is the probability distribution of the lowest ask ...
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Do they directly put limit orders on the order book? Or do they automatically fill limit/market orders from customers and have offsetting position with their market maker(LP) to offset their net ...
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Is it true that approved market makers are simply taking the other side of the orders from retail or maybe institutions whatever the price is without actually being on the order book, and they also ...
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I have found the following code in the book Python for Finance by Yuxing Yan, in page 267 for estimating Amihud's illiquidity ...
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What are the quantitative criteria to distinguish between asset classes? I ask this as many institutional investors are undergoing strategic and tactical asset class decisions at the moment. How ...
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Brunnermeier, 2005 studied the "predatory trading" This paper studies predatory trading, trading that induces and/or exploits the need of other investors to reduce their positions. We show ...
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