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Displaying results 1 to 3 of 3.

  1. Crashes and recoveries in illiquid markets
    Published: Aug. 2007
    Publisher:  Federal Reserve Bank of Cleveland, Cleveland, Ohio

    "We study the dynamics of liquidity provision by dealers during an asset market crash, described as a temporary negative shock to investors' aggregate asset demand. We consider a class of dynamic market settings where dealers can trade continuously... more

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    W 87 (0708)
    Inter-library loan:
    No inter-library loan

     

    "We study the dynamics of liquidity provision by dealers during an asset market crash, described as a temporary negative shock to investors' aggregate asset demand. We consider a class of dynamic market settings where dealers can trade continuously with each other, while trading between dealers and investors is subject to delays and involves bargaining. We derive conditions on fundamentals, such as preferences, market structure and the characteristics of the market crash (e.g., severity, persistence) under which dealers provide liquidity to investors following the crash. We also characterize the conditions under which dealers' incentives to provide liquidity are consistent with market efficiency"--Federal Reserve Bank of Cleveland web site

     
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    Content information
    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Working paper / Federal Reserve Bank of Cleveland ; 0708
    Subjects: Finanzkrise; Liquidität; Wertpapierhandel; Handelsvolumen der Börse; Theorie; Liquidity (Economics)
    Other subjects: Array
    Scope: Online-Ressource, 68 S. = 540 KB, Text
    Notes:

    Title from PDF file as viewed on 10/29/2007

    Includes bibliographical references

    Also available in print
  2. Liquidity in asset markets with search frictions
    Published: June 2007
    Publisher:  Federal Reserve Bank of Cleveland, Cleveland, Ohio

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    W 87 (0706)
    Inter-library loan:
    No inter-library loan
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    Content information
    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Working paper / Federal Reserve Bank of Cleveland ; 0706
    Subjects: Finanzintermediation; OTC-Handel; Suchtheorie; Geld-Brief-Spanne; Handelsvolumen der Börse; Effizienzmarkthypothese; Theorie
    Other subjects: Array
    Scope: Online-Ressource, 54 S., Text, graph. Darst.
  3. Portfolio Optimization in Electricity Trading with Limited Liquidity
    Author: Weber, Christoph; Woll, Oliver
    Published: 2007
    Publisher:  University of Duisburg-Essen, Chair for Management Science and Energy Economics, Essen

    In principle, portfolio optimization in electricity markets can make use of the standard mean-variance model going back to Markowitz. Yet a key restriction in most electricity markets is the limited liquidity. Therefore the standard model has to be... more

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    DS 481 (02/07)
    Inter-library loan:
    No inter-library loan

     

    In principle, portfolio optimization in electricity markets can make use of the standard mean-variance model going back to Markowitz. Yet a key restriction in most electricity markets is the limited liquidity. Therefore the standard model has to be adapted to cope with limited liquidity. An application of this model shows that the optimal hedging strategy for generation portfolios is strongly dependent on the size of the portfolio considered as well as on the variance-covariancematrix used and the liquidity function assumed.

     
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    Content information
    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/103270
    Series: EWL Working Paper ; 2 [02/07]
    Subjects: optimization; electricity; liquidity; electricity trading; mean-variance-model
    Scope: Online-Ressource ([1], 18 S.), graph. Darst.