How large is liquidity risk in an automated auction market?

Giot, Pierre; Grammig, Joachim

doi:10.1007/s00181-005-0003-z

Cited by 32 publications

(25 citation statements)

References 30 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…Francois-Heude and Van Wynendaele (2001) nd a 2-21 % contribution of price impact in one stock. Giot and Grammig (2005) show that 30-minute liquidityadjusted VaR is 11-30 % for three stocks. Angelidis and Benos (2006) estimate that liquidity risk constitutes 11 % of total VaR in low capitalization stocks.…”

Section: General Denition Of Liquidity Riskmentioning

confidence: 92%

“…In order to address price impact, Giot and Grammig (2005) extend the idea of Bangia et al (1999) by using spread data beyond the spread depth. They assume, that the position is immediately liquidated as market order against limit orders in the limit order book.…”

Section: Price Impact From Weighted Spread: Giot and Gramming (2005)mentioning

confidence: 99%

“…This accounts for non-normality in the net return distribution in a less restrictive way than the t-distribution approach of Giot and Grammig (2005).…”

mentioning

confidence: 99%

See 2 more Smart Citations

Market Liquidity Risk - An Overview

Stange

Kaserer

2009

SSRN Journal

View full text Add to dashboard Cite

Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. Market liquidity is the ease of trading an asset. Its risk is the potential loss, because a security can only be traded at high or prohibitive costs. While the omnipresence and importance of market liquidity is widely acknowledged, it has long remained a more or less elusive concept. Treatment of liquidity risk is still under development. Terms of use: Documents in EconStor mayThis paper provides an overview on important aspects of market liquidity and its risk. We also survey existing models to integrate market liquidity risk into risk frameworks. We place special emphasis on practical usability and discuss relevant strengths, weaknesses and their implications.

show abstract

Section: General Denition Of Liquidity Riskmentioning

confidence: 92%

Section: Price Impact From Weighted Spread: Giot and Gramming (2005)mentioning

confidence: 99%

See 1 more Smart Citation

Market Liquidity Risk - An Overview

Stange

Kaserer

2009

SSRN Journal

View full text Add to dashboard Cite

show abstract

“…In order not to completely neglect these, we choose Berkowitz (2000a), which seemed most promising to adapt for daily data. We include all traceable models available for daily data : Bangia et al (1999), Cosandey (2001), Francois-Heude andVan Wynendaele (2001), Giot andGrammig (2005), Stange and Kaserer (2008c) and Ernst et al (2008). For all models we choose a straight forward implementation for daily stock data.…”

Section: Selection Of Modelsmentioning

confidence: 99%

“…The approach by Giot and Grammig (2005) is a simple parametric alternative, but the validity of the t-distribution assumption remains to be tested.…”

Section: Models Based On Weighted Spread Datamentioning

confidence: 99%

Measuring Market Liquidity Risk - Which Model Works Best?

2009

View full text Add to dashboard Cite

Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. Market liquidity risk, the diculty or cost of trading assets in crises, has been recognized as an important factor in risk management. Literature has already proposed several models to include liquidity risk in the standard Value-at-Risk framework. While theoretical comparisons between those models have been conducted, their empirical performance has never been benchmarked. This paper performs comparative back-tests of daily risk forecasts for a large selection of traceable liquidity risk models. In a 5.5 year stock sample we show which model provides most accurate results and provide detailed recommendations which model is most suitable in a specic situation. Terms of use: Documents in EconStor may

show abstract

Forecasting High‐Frequency Risk Measures

Banulescu

Colletaz

Hurlin

et al. 2015

Journal of Forecasting

View full text Add to dashboard Cite

This article proposes intraday high‐frequency risk (HFR) measures for market risk in the case of irregularly spaced high‐frequency data. In this context, we distinguish three concepts of value‐at‐risk (VaR): the total VaR, the marginal (or per‐time‐unit) VaR and the instantaneous VaR. Since the market risk is obviously related to the duration between two consecutive trades, these measures are completed with a duration risk measure, i.e. the time‐at‐risk (TaR). We propose a forecasting procedure for VaR and TaR for each trade or other market microstructure event. Subsequently, we perform a backtesting procedure specifically designed to assess the validity of the VaR and TaR forecasts on irregularly spaced data. The performance of the HFR measure is illustrated in an empirical application for two stocks (Bank of America and Microsoft) and an exchange‐traded fund based on Standard & Poor's 500 index. We show that the intraday HFR forecasts capture accurately the volatility and duration dynamics for these three assets. Copyright © 2015 John Wiley & Sons, Ltd.

show abstract

How large is liquidity risk in an automated auction market?

Cited by 32 publications

References 30 publications

Market Liquidity Risk - An Overview

Market Liquidity Risk - An Overview

Measuring Market Liquidity Risk - Which Model Works Best?

Forecasting High‐Frequency Risk Measures

Contact Info

Product

Resources

About