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Digital Library of the
European Council for Modelling and Simulation |
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Title: |
Resiliency On Order-Driven Markets |
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Authors: |
Daniel Havran, Kata Varadi |
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Published in:
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(2015).ECMS 2015 Proceedings edited
by: Valeri M. Mladenov, Grisha Spasov, Petia Georgieva, Galidiya Petrova, European
Council for Modeling and Simulation. doi:10.7148/2015 ISBN:
978-0-9932440-0-1 29th
European Conference on Modelling and Simulation, Albena (Varna), Bulgaria,
May 26th – 29th,
2015 |
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Citation
format: |
Daniel
Havran, Kata Varadi(2015). Resiliency On Order-Driven Markets, ECMS 2015
Proceedings edited by: Valeri M. Mladenov, Petia Georgieva, Grisha Spasov, Galidiya Petrova
European Council for Modeling and Simulation. doi:10.7148/2015-0132 |
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DOI: |
http://dx.doi.org/10.7148/2015-0132 |
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Abstract: |
Market
liquidity has an important role in trading on stock markets, since on
illiquid markets the implicit cost of trading can cause notable losses for
the investors. Therefore market participants should always measure the
liquidity of the markets, which they can carry out in two ways, in a static and in a dynamic form. The most commonly used
liquidity measures – bid-ask spread and the turnover – quantify liquidity
statically, and there are only a few ways to measure liquidity dynamically.
In this paper we will introduce a method which
enables the market participants to analyse the
liquidity of a market in a dynamic framework. We will use a
vector-autoregressive estimation and simulation method to show how the
liquidity of the market recovers after a shock happens on the market, namely
we will measure the resiliency of the market. |
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