Instantaneous liquidity rate, its econometric measurement by volatility feedback

✍ Scribed by Paul Malliavin; Maria Elvira Mancino

• Book ID: 104447283
• Publisher: Elsevier Science
• Year: 2002
• Tongue: English
• Weight: 41 KB
• Volume: 334
• Category: Article
• ISSN: 1631-073X
• DOI: 10.1016/s1631-073x(02)02297-5

✦ Synopsis

In the univariate case we show mathematical existence, in real time and model free, of the instantaneous liquidity rate, which is a measure of the market stability. We give a mathematical formula expressing the instantaneous liquidity rate in terms of self cross volatilities, which, for frequently traded assets, are econometrically measurable.