文章基本信息

标题：THE LIQUIDITY ON THE MARKET GOVERNED BY ORDERS
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作者：Negrea, Bogdan
期刊名称：Theoretical and Applied Economics
印刷版ISSN：1841-8678
电子版ISSN：1844-0029
出版年度：2008
卷号：12(517)(supplement)
期号：12(517)(supplement)
页码：24-30
出版社：Asociatia Generala a Economistilor din Romania - AGER
摘要：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.
关键词：microstructure; information asymmetry; liquidity; stochastic calculus; limit order.