Analyzing Liquidity and Absorption Limits of Electronic Markets with Volume Durations

Abstract: This paper focuses on the liquidity of electronic stock markets applying a sequential estimation approach of models for volume durations with increasing threshold values. A modified ACD model with a Box-Tukey transformation and a flexible generalized Beta distribution is proposed to capture the changing cluster structure of duration processes. The estimation results with the German XETRA data reveal the market’s absorption limit for high volumes of shares, expanding the time costs of illiquidity when trading these quantities

Object Details

• Location: Deutsche Nationalbibliothek Frankfurt am Main
• Extent: Online-Ressource
• Language: Englisch
• Notes: Postprint ; begutachtet (peer reviewed) ; In: Quantitative Finance ; 8 (2008) 4 ; 353-361

Classification and Topics

• Classification: Wirtschaft

Contributors, Places and Time

• Event: Veröffentlichung
• (where): Mannheim
• (when): 2008
• Creator: Wing Lon Ng

Further information

• DOI: 10.1080/14697680701545699
• URN: urn:nbn:de:0168-ssoar-221094
• Rights: Open Access unbekannt; Open Access; Der Zugriff auf das Objekt ist unbeschränkt möglich.
• Last update: 25.03.2025, 1:48 PM CET