The Budapest liquidity measure and the price impact function

Gyarmati, Ákos and Lublóy, Ágnes and Váradi, Kata: The Budapest liquidity measure and the price impact function. Crisis Aftermath: economic policy changes in the EU and its Member States : International Conference University of Szeged 8-9 March 2012 : conference Proceedings. pp. 112-125. (2012)

[img] Cikk, tanulmány, mű
crisis_aftermath_112-125.pdf

Download (641kB)

Abstract

During the 2007/2008 global economic crisis, market liquidity became an important issue both on the field of theoretical finance and in practice. In theory market liquidity is usually being modeled with price impact functions. In this study we show how the price impact function can be estimated from order book data. Our estimation is based on the Budapest Liquidity Measure (BLM) which is a liquidity measure that captures the transaction cost nature of liquidity. The main outcome of this paper is a method with which market participants can easily estimate price impact functions. This is of major importance, as the price impact function can be a useful tool during a dynamic portfolio optimization process. The price impact functions can help investors in their trading decisions.

Item Type: Article
Journal or Publication Title: Crisis Aftermath: economic policy changes in the EU and its Member States : International Conference University of Szeged 8-9 March 2012 : conference Proceedings
Date: 2012
Page Range: pp. 112-125
ISBN: 978-963-306-159-6
Uncontrolled Keywords: Likviditás, Árhatás, Tőzsde
Additional Information: Bibliogr.: p. 124-125. ; összefoglalás angol nyelven
Date Deposited: 2019. May. 16. 15:26
Last Modified: 2019. May. 16. 15:26
URI: http://acta.bibl.u-szeged.hu/id/eprint/57485

Actions (login required)

View Item View Item