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Results for “real yields” · papers 2 · wiki 3
Academic Papers · 2arXiv q-fin live 0 · desk corpus 2
arXiv · arXiv · 2024
We develop a liquidity-sensitive multivariate volatility framework to improve the estimation of time-varying covariance structures under market frictions. We introduce two novel portfolio-level liquidity measures, liquidity jump and liquidity diffusion, which capture magnitude and volatility of liquidity fluctuation, respectively, and construct liquidity-adjusted return and volatility that reflect real-time liquidity…
Qi Deng
arXiv · arXiv · 2023
Financial order flow exhibits a remarkable level of persistence, wherein buy (sell) trades are often followed by subsequent buy (sell) trades over extended periods. This persistence can be attributed to the division and gradual execution of large orders. Consequently, distinct order flow regimes might emerge, which can be identified through suitable time series models applied to market data. In this paper, we propose…
Ioanna-Yvonni Tsaknaki, Fabrizio Lillo, Piero Mazzarisi
Option Blackboard · 0
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