IDEAS home Printed from https://ideas.repec.org/a/agr/journl/v12(517)(supplement)y2008i12(517)(supplement)p24-30.html
   My bibliography  Save this article

The Liquidity On The Market Governed By Orders

Author

Listed:
  • Bogdan Negrea

    (Academy of Economic Studies, Bucharest)

Abstract

This paper proposes a new method based on stochastic calculus in order to analyze the liquidity on the market governed by orders in the presence of the informed agents. The paper proposes a new formula in order to compute the market liquidity. This analytical formula is obtained from the options valuation methods following the fact that an agent who places a limit order offers an option to the rest of the market which can be exercised against him. The analytical formula of the liquidity cost for a market governed by orders depends on four parameters: the risk-free interest rate, the transaction price of the financial asset, the volatility of the financial asset and the limit price.

Suggested Citation

  • Bogdan Negrea, 2008. "The Liquidity On The Market Governed By Orders," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania - AGER, vol. 12(12(517)(s), pages 24-30, December.
    • Handle: RePEc:agr:journl:v:12(517)(supplement):y:2008:i:12(517)(supplement):p:24-30
    as

    Download full text from publisher

    File URL: http://store.ectap.ro/suplimente/Finante_nov_2008_en.pdf
    Download Restriction: no
    ---><---

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:agr:journl:v:12(517)(supplement):y:2008:i:12(517)(supplement):p:24-30. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Marin Dinu (email available below). General contact details of provider: https://edirc.repec.org/data/agerrea.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.