Lit and Dark Liquidity with Lost Time Data Interlinked Trading Venues Around the Global Financial Crisis

Author: Hagendorf, Col

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BISAC Categories:
Econometrics |

Description

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 in investigating the role of lost time in and after the recession.

More Details

Publisher Name	Palgrave Pivot
Author Name	Hagendorf, Col
Format	Audio
Bisac Subject Major	BUS
Language	NG
Isbn 10	1137432608
Isbn 13	9781137432605
Target Age Group	min:NA, max:NA
Series	000462650
Dimensions	00.85" H x 00.05" L x 50.00" W
Page Count	75

Author Details

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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