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Project
An innovative assessment of market liquidity of financial instruments under the conic finance theory
The project is aimed at comparing the liquidity in different markets and during periods characterized by different market turmoil levels, using the recently developed conic finance theory. We will apply state-of-the art statistical techniques to highlight the trend of liquidity times series. As numerical study, we investigate the impact of two market distress periods, namely the dot-com bubble and the 2007-2008 global financial crisis.
Date:1 Feb 2015 → 31 Dec 2015
Keywords:MARKET LIQUIDITY, PRE- AND POST-CRISIS LIQUIDITY, CONIC FINANCE
Disciplines:Applied mathematics in specific fields, Statistics and numerical methods, Applied economics