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Lit and Dark Liquidity with Lost Time Data: Interlinked Trading Venues around the Global Financial Crisis
Tommi A. Vuorenmaa
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Description for Lit and Dark Liquidity with Lost Time Data: Interlinked Trading Venues around the Global Financial Crisis
Hardcover. In Measuring Liquidity and Lost Time Data, Vuorenmaa analyses liquidity to better understand the crux of the financial crisis. Num Pages: 75 pages, biography. BIC Classification: KFF; KFFM; KFFM1. Category: (P) Professional & Vocational. Dimension: 224 x 144 x 12. Weight in Grams: 252.
Since the 2008 financial crisis, researchers and policy makers have been looking to empirical data to distil both what happened and how a similar event can be avoided in the future. In Lit and Dark Liquidity with Lost Time Data, Vuorenmaa analyses liquidity to better understand the crux of the financial crisis. By relating liquidity to jump activity, market microstructure noise variance, and average pairwise correlation, Vuorenmaa uncovers the dynamics and ramifications behind anonymous trades made outside of public exchanges, and measures its impact on the crisis. This volume is ideal for academics, students, and practitioners alike, who are interested ... Read more
Since the 2008 financial crisis, researchers and policy makers have been looking to empirical data to distil both what happened and how a similar event can be avoided in the future. In Lit and Dark Liquidity with Lost Time Data, Vuorenmaa analyses liquidity to better understand the crux of the financial crisis. By relating liquidity to jump activity, market microstructure noise variance, and average pairwise correlation, Vuorenmaa uncovers the dynamics and ramifications behind anonymous trades made outside of public exchanges, and measures its impact on the crisis. This volume is ideal for academics, students, and practitioners alike, who are interested ... Read more
Product Details
Format
Hardback
Publication date
2014
Publisher
Palgrave Pivot
Condition
New
Number of Pages
75
Place of Publication
Basingstoke, United Kingdom
ISBN
9781137432605
SKU
V9781137432605
Shipping Time
Usually ships in 15 to 20 working days
Ref
99-15
About Tommi A. Vuorenmaa
Tommi Vuorenmaa is Head of Research and a founding member of Valo Research and Trading Ltd., an automated trading company based in Helsinki, Finland. At Valo, Vuorenmaa leads trading strategy development with heavy emphasis on research using his expertise in financial econometrics.
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