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A distribution‐based method to gauge market liquidity through scale invariance between investment horizons

  • Published:2020-04-11 Issue:5 Volume:36 Page:809-824
  • ISSN:1524-1904
  • Container-title:Applied Stochastic Models in Business and Industry
  • language:en
  • Short-container-title:Appl Stochastic Models Bus Ind

Author:

Bianchi Sergio123ORCID,Pianese Augusto2,Frezza Massimiliano2

Affiliation:

1. Department of MEMOTEF Sapienza University of Rome Italy

2. QuantLab, Department of Economics and Law University of Cassino Cassino Italy

3. Int'l Affiliate Professor, Department Finance and Risk Engineering, Tandon School of Engineering New York University New York New York USA

Publisher

Wiley

Subject

Management Science and Operations Research,General Business, Management and Accounting,Modelling and Simulation

Reference40 articles.

1. The Behavior of Stock-Market Prices

2. Rational theory of warrant pricing;Samuelson P;Ind Manag Rev,1965

3. Liquidity and execution costs in equity markets

4. The variation of certain speculative prices;Mandelbrot B;J Bus,1963

5. On the Distribution of Stock Price Differences

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3. Rough volatility via the Lamperti transform;Communications in Nonlinear Science and Numerical Simulation;2023-12

4. Fractal characteristics analysis and fluctuation trend prediction of commercial bank funding liquidity;Applied Economics;2022-06-09

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