Market and Liquidity Risks Using Transaction-by-Transaction Information

González-Sánchez, Mariano, Ibáñez Jiménez, Eva M. y Segovia San Juan, Ana I. . (2021) Market and Liquidity Risks Using Transaction-by-Transaction Information. Mathematics, 9(14), (2021), 1678

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Título Market and Liquidity Risks Using Transaction-by-Transaction Information
Autor(es) González-Sánchez, Mariano
Ibáñez Jiménez, Eva M.
Segovia San Juan, Ana I.
Materia(s) Economía
Empresa
Abstract The usual measures of market risk are based on the axiom of positive homogeneity while neglecting an important element of market information—liquidity. To analyze the effects of this omission, in the present study, we define the behavior of prices and volume via stochastic processes subordinated to the time elapsing between two consecutive transactions in the market. Using simulated data and market data from companies of different sizes and capitalization levels, we compare the results of measuring risk using prices compared to using both prices and volumes. The results indicate that traditional measures of market risk behave inversely to the degree of liquidity of the asset, thereby underestimating the risk of liquid assets and overestimating the risk of less liquid assets.
Palabras clave liquidity risk
volume
trade
intraday frequency
Editor(es) MDPI
Fecha 2021-07
Formato application/pdf
Identificador bibliuned:DptoEEC-FCEE-Articulos-Aisegovia-0006
http://e-spacio.uned.es/fez/view/bibliuned:DptoEEC-FCEE-Articulos-Aisegovia-0006
DOI - identifier https://doi.org/10.3390/math9141678
ISSN - identifier 2227-7390
Nombre de la revista Mathematics
Número de Volumen 9
Número de Issue 14
Publicado en la Revista Mathematics, 9(14), (2021), 1678
Versión de la publicación publishedVersion
Tipo de recurso Article
Derechos de acceso y licencia http://creativecommons.org/licenses/by-nc-nd/4.0
info:eu-repo/semantics/openAccess
Tipo de acceso Acceso abierto
Notas adicionales The registered version of this article, first published in Mathematics, is available online at the publisher's website: https://doi.org/10.3390/math9141678
Notas adicionales La versión registrada de este artículo, publicado por primera vez en Mathematics, está disponible en línea en el sitio web del editor: https://doi.org/10.3390/math9141678

 
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Creado: Fri, 19 Jan 2024, 04:33:05 CET