Implied liquidity: towards stochastic liquidity modelling and liquidity trading
نویسندگان
چکیده
منابع مشابه
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We appreciate helpful discussions with Jean-Paul Abraham, Jos Schmitt and participants at the 23 rd SUERF Colloquium. We acknowledge financial assistance from FWO-Vlaanderen under contracts G.0302.00 and G.0333.01.
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ژورنال
عنوان ژورنال: International Journal of Portfolio Analysis and Management
سال: 2012
ISSN: 2048-2361,2048-237X
DOI: 10.1504/ijpam.2012.046910