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Market Liquidity Measurement and Econometric Modeling

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Market Risk and Financial Markets Modeling

Abstract

This paper presents an econometric approach to liquidity modeling. We consider transaction cost indices of market liquidity based on a full order book and then try to estimate relationships with observable market variables. The research is based on the detailed market data, which include order history and trades execution data, for Moscow Interbank Currency Exchange (MICEX) listed stocks in September, 2010.

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References

  • Berkowitz, J. (2000) Incorporating Liquidity Risk Into Value-at-Risk Models. Working paper, University of California, Irvine.

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Author information

Authors and Affiliations

  1. Department of Economics, Perm State University, Perm, Russia

    Viacheslav Arbuzov

  2. Prognoz Risk Lab, Perm, Russia

    Maria Frolova

Authors
  1. Viacheslav Arbuzov
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  2. Maria Frolova
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Corresponding author

Correspondence to Viacheslav Arbuzov .

Editor information

Editors and Affiliations

  1. Dept. Management,, Technologie und Ökonomie, ETH Zürich, Kreuzplatz 5, Zürich, 8032, Switzerland

    Didier Sornette

  2. , Prognoz Risk Lab, Perm State University, Perm, Russia

    Sergey Ivliev

  3. , D-MTEC, ETH Zurich, Kreuzplatz 5, Zurich, 8032, Switzerland

    Hilary Woodard

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© 2012 Springer-Verlag Berlin Heidelberg

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Arbuzov, V., Frolova, M. (2012). Market Liquidity Measurement and Econometric Modeling. In: Sornette, D., Ivliev, S., Woodard, H. (eds) Market Risk and Financial Markets Modeling. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-27931-7_5

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  • DOI: https://doi.org/10.1007/978-3-642-27931-7_5

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  • Publisher Name: Springer, Berlin, Heidelberg

  • Print ISBN: 978-3-642-27930-0

  • Online ISBN: 978-3-642-27931-7

  • eBook Packages: Business and EconomicsEconomics and Finance (R0)

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