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Market and Liquidity Risks Using Transaction-by-Transaction Information

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dc.contributor.authorGonzález Sánchez, Mariano
dc.contributor.authorIbáñez Jiménez, Eva María
dc.contributor.authorSegovia San Juan, Ana Isabel
dc.date.accessioned2024-05-20T11:24:25Z
dc.date.available2024-05-20T11:24:25Z
dc.date.issued2021-07
dc.description.abstractThe 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.en
dc.description.versionversión publicada
dc.identifier.doihttps://doi.org/10.3390/math9141678
dc.identifier.issn2227-7390
dc.identifier.urihttps://hdl.handle.net/20.500.14468/11912
dc.journal.issue14
dc.journal.titleMathematics
dc.journal.volume9
dc.language.isoen
dc.publisherMDPI
dc.relation.centerFacultad de Ciencias Económicas y Empresariales
dc.relation.departmentEconomía de la Empresa y Contabilidad
dc.rightsinfo:eu-repo/semantics/openAccess
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/4.0
dc.subject.keywordsliquidity risk
dc.subject.keywordsvolume
dc.subject.keywordstrade
dc.subject.keywordsintraday frequency
dc.titleMarket and Liquidity Risks Using Transaction-by-Transaction Informationes
dc.typejournal articleen
dc.typeartículoes
dspace.entity.typePublication
relation.isAuthorOfPublication1801f9f2-5927-4817-a82f-3baa664d18e1
relation.isAuthorOfPublication87e5c96e-59e3-4736-a6cf-2ea7e6d9fc86
relation.isAuthorOfPublication99559728-2011-4a2f-a766-4641487e2152
relation.isAuthorOfPublication.latestForDiscovery1801f9f2-5927-4817-a82f-3baa664d18e1
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