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Tracking Illiquidities in Intradaily and Daily Characteristics

dc.contributor.authorDarolles, Serge
dc.contributor.authorLe Fol, Gaëlle
dc.contributor.authorMero, Gulten
dc.date.accessioned2014-02-24T10:05:41Z
dc.date.available2014-02-24T10:05:41Z
dc.date.issued2011-05
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/12739
dc.language.isoenen
dc.subjectVolatility-volume relationshipen
dc.subjectmixture of distribution hypothesisen
dc.subjectliquidity shocksen
dc.subjectinformation-based tradingen
dc.subjectliquidity arbitrageen
dc.subjectMarkov regime switching stochastic volatility modelen
dc.subject.ddc332en
dc.subject.classificationjelC51en
dc.subject.classificationjelC52en
dc.subject.classificationjelG12en
dc.titleTracking Illiquidities in Intradaily and Daily Characteristicsen
dc.typeCommunication / Conférence
dc.contributor.editoruniversityotherUniversité d'Évry;France
dc.description.abstractenIn this article, we distinguish between two types of liquidity problems called respectively liquidity frictions and illiquidity events. The first one is related to order imbalances that are resorbed within the trading day. It can be assimilated to "immediacy cost" and impacts the traded volume at the intraday and daily frequencies while affecting the price increments only at the intraday periodicity. The second one is inherent to the long lasting liquidity problems and is responsible for the time-dependence of the daily returns. We extend the MDHL framework of Darolles et al. (2010) to account for the presence of the illiquidity events. We then propose a two-step signal extraction formulation of the MDHL model in order to separate the two liquidity problem impacts on the daily returns and volume. We also provide, for a set of FTSE100 individual stocks, long lasting illiquidity indicators.en
dc.identifier.citationpages45 p.en
dc.subject.ddclabelEconomie financièreen
dc.relation.conftitle28th annual International Conference of the French Finance Associationen
dc.relation.confdate2011-05
dc.relation.confcityMontpellieren
dc.relation.confcountryFranceen
dc.relation.forthcomingnonen
dc.description.submittednonen


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