Real-Time Detection of Volatility in Liquidity Provision

Real-Time Interference Detection in Tracking Loop of GPS Receiver

Global Positioning System (GPS) spoofing could pose a major threat for GPS navigation ‎systems, so the GPS users have to gain a better understanding of the broader implications of ‎GPS.‎ In this paper, a plenary anti-spoofing approach based on correlation is proposed to distinguish spoofing effects. The suggested ‎method can be easily implemented in tracking loop of GPS receiver...

Intraday Liquidity Demand of Banks in Real-Time Gross Settlement System

In this study a simulation analysis is applied to address the change in banks liquidity demand due to a shift in settlement method brought about by adopting Real Time Gross Settlement System. At the first stage of this research, we use a data generator model along with some information on the time distribution of coded cheques over a working day in order to produce intraday flow of payment...

Ineffi cient Liquidity Provision

We prove that in competitive market economies with no insurance for idiosyncratic risks, agents will always overinvest in illiquid long term assets and underinvest in short term liquid assets. We take as our setting the seminal model of Diamond and Dybvig (1983), who first posed the question in a tractable model. We reach such a simple conclusion under mild conditions because we stick to the ba...

Detection of Congenital Mullerian Anomalies Using Real-Time 3D Sonography

Relative liquidity and future volatility

The main contribution of this paper is to identify the strong predictive power of the relative, rather than the absolute, volume of orders over volatility. To this end, we propose a new measure, relative liquidity, which accounts for how quoted depth is distributed in a limit order book and captures the level of consensus on a security's trading price. Higher liquidity provision farther away fr...