Heavy-tailed features and dependence in limit order book volume profiles in futures markets
Author
Abstract
Suggested Citation
DOI: 10.1142/S2424786315500334
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Younes Bensalah, 2000. "Steps in Applying Extreme Value Theory to Finance: A Review," Staff Working Papers 00-20, Bank of Canada.
- Stange, Sebastian & Kaserer, Christoph, 2009. "Market liquidity risk: an overview," CEFS Working Paper Series 2009-04, Technische Universität München (TUM), Center for Entrepreneurial and Financial Studies (CEFS).
- Anirban Chakraborti & Ioane Muni Toke & Marco Patriarca & Frederic Abergel, 2009. "Econophysics: Empirical facts and agent-based models," Papers 0909.1974, arXiv.org, revised Jun 2010.
- Schiereck, D., 1995. "Internationale Börsenplatzentscheidungen institutioneller Investoren," Publications of Darmstadt Technical University, Institute for Business Studies (BWL) 35477, Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL).
- Ernst, Cornelia & Stange, Sebastian & Kaserer, Christoph, 2012.
"Measuring market liquidity risk - which model works best?,"
Journal of Financial Transformation, Capco Institute, vol. 35, pages 133-146.
- Ernst, Cornelia & Stange, Sebastian & Kaserer, Christoph, 2009. "Measuring market liquidity risk - which model works best?," CEFS Working Paper Series 2009-01, Technische Universität München (TUM), Center for Entrepreneurial and Financial Studies (CEFS).
- R'emy Chicheportiche & Jean-Philippe Bouchaud, 2012. "Weighted Kolmogorov-Smirnov test: Accounting for the tails," Papers 1207.7308, arXiv.org, revised Oct 2012.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Strašek Sebastjan & Bricelj Bor, 2016. "Spread and Liquidity Issues: A markets comparison," Naše gospodarstvo/Our economy, Sciendo, vol. 62(1), pages 3-11, March.
- G. D. Gettinby & C. D. Sinclair & D. M. Power & R. A. Brown, 2004. "An Analysis of the Distribution of Extreme Share Returns in the UK from 1975 to 2000," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 31(5‐6), pages 607-646, June.
- Marco Rocco, 2011. "Extreme value theory for finance: a survey," Questioni di Economia e Finanza (Occasional Papers) 99, Bank of Italy, Economic Research and International Relations Area.
- Michel Rochette, 2002. "Risk Management in the Exchange Fund Account," Bank of Canada Review, Bank of Canada, vol. 2001(Winter), pages 27-36.
- Eliazar, Iddo, 2017. "Inequality spectra," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 469(C), pages 824-847.
- Becchetti, L. & Ferrari, M. & Trenta, U., 2014.
"The impact of the French Tobin tax,"
Journal of Financial Stability, Elsevier, vol. 15(C), pages 127-148.
- Leonardo Becchetti & Massimo Ferrari, 2013. "The impact of the French Tobin tax," Econometica Working Papers wp47, Econometica.
- Leonardo Becchetti & Massimo Ferrari & Ugo Trenta, 2013. "The impact of the French Tobin tax," CEIS Research Paper 266, Tor Vergata University, CEIS, revised 01 Mar 2013.
- Becchetti, Leonardo & Ferrari, Massimo & Trenta, Ugo, 2013. "The impact of the French Tobin tax," AICCON Working Papers 118-2013, Associazione Italiana per la Cultura della Cooperazione e del Non Profit.
- Stereńczak, Szymon, 2020. "Stock liquidity premium with stochastic price impact and exogenous trading strategy," International Review of Financial Analysis, Elsevier, vol. 71(C).
- Younes Bensalah, 2002. "Asset Allocation Using Extreme Value Theory," Staff Working Papers 02-2, Bank of Canada.
- Tomaso Aste, 2020. "Stress testing and systemic risk measures using multivariate conditional probability," Papers 2004.06420, arXiv.org, revised May 2021.
- de Jesús, Raúl & Ortiz, Edgar & Cabello, Alejandra, 2013. "Long run peso/dollar exchange rates and extreme value behavior: Value at Risk modeling," The North American Journal of Economics and Finance, Elsevier, vol. 24(C), pages 139-152.
- Gimeno, Ricardo & Gonzalez, Clara I., 2012. "An automatic procedure for the estimation of the tail index," MPRA Paper 37023, University Library of Munich, Germany.
- Ioan Trenca & Simona Mutu & Nicolae Petria, 2011. "Econometric Models Used For Managing The Market Risk In The Romanian Banking System," Analele Stiintifice ale Universitatii "Alexandru Ioan Cuza" din Iasi - Stiinte Economice (1954-2015), Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, vol. 2011, pages 115-123, july.
- Dey Ashim Kumar & Das Kumer Pial, 2020. "Predicting Federal Funds Rate Using Extreme Value Theory," Stochastics and Quality Control, De Gruyter, vol. 35(1), pages 1-15, June.
- Jie-Jun Tseng & Sai-Ping Li, 2010. "Asset returns and volatility clustering in financial time series," Papers 1002.0284, arXiv.org, revised Apr 2011.
- Pamela Cardozo, 2004. "Valor en Riesgo de los Activos Financieros Colombianos Aplicando la Teoría de Valor Extremo," Borradores de Economia 304, Banco de la Republica de Colombia.
- Goldman, Matt & Kaplan, David M., 2018.
"Comparing distributions by multiple testing across quantiles or CDF values,"
Journal of Econometrics, Elsevier, vol. 206(1), pages 143-166.
- David M. Kaplan & Matt Goldman, 2013. "Comparing distributions by multiple testing across quantiles," Working Papers 1319, Department of Economics, University of Missouri, revised Feb 2018.
- David M. Kaplan & Matt Goldman, 2018. "Comparing distributions by multiple testing across quantiles or CDF values," Working Papers 1801, Department of Economics, University of Missouri.
- David M. Kaplan & Matt Goldman, 2016. "Comparing distributions by multiple testing across quantiles or CDF values," Working Papers 1619, Department of Economics, University of Missouri, revised 22 Feb 2018.
- Matt Goldman & David M. Kaplan, 2017. "Comparing distributions by multiple testing across quantiles or CDF values," Papers 1708.04658, arXiv.org.
- Suarez, R, 2001. "Improving Modeling of Extreme Events using Generalized Extreme Value Distribution or Generalized Pareto Distribution with Mixing Unconditional Disturbances," MPRA Paper 17443, University Library of Munich, Germany.
- Ji, Lanpeng & Liu, Peng & Robert, Stephan, 2019. "Tail asymptotic behavior of the supremum of a class of chi-square processes," Statistics & Probability Letters, Elsevier, vol. 154(C), pages 1-1.
- Muteba Mwamba, John & Mhlanga, Isaah, 2013. "Extreme conditional value at risk: a coherent scenario for risk management," MPRA Paper 64387, University Library of Munich, Germany.
- Brzezinski, Michal, 2014.
"Do wealth distributions follow power laws? Evidence from ‘rich lists’,"
Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 406(C), pages 155-162.
- Michal Brzezinski, 2013. "Do wealth distributions follow power laws? Evidence from "rich lists"," Papers 1304.0212, arXiv.org.
More about this item
Keywords
Limit order book; futures markets; high frequency volume profiles; microstructure; heavy tail;All these keywords.
Statistics
Access and download statisticsCorrections
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:wsi:ijfexx:v:02:y:2015:i:03:n:s2424786315500334. 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.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with 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: Tai Tone Lim (email available below). General contact details of provider: http://www.worldscientific.com/worldscinet/ijfe .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.