Skip Navigation

This Article
Right arrow Full Text (PDF)
Right arrow Alert me when this article is cited
Right arrow Alert me if a correction is posted
Services
Right arrow Email this article to a friend
Right arrow Similar articles in this journal
Right arrow Alert me to new issues of the journal
Right arrow Add to My Personal Archive
Right arrow Download to citation manager
Right arrowRequest Permissions
Google Scholar
Right arrow Articles by Hautsch, N.
Right arrow Search for Related Content
Related Collections
Right arrow C41 - Duration Analysis
Right arrow C51 - Model Construction and Estimation
Right arrow G10 - General
Social Bookmarking
Add to CiteULike   Add to Connotea   Add to Del.icio.us  
What's this?

Journal of Financial Econometrics Vol. 1, No. 2, pp. 189-215
© Oxford University Press

Assessing the Risk of Liquidity Suppliers on the Basis of Excess Demand Intensities

Nikolaus Hautsch1,*
     1 University of Konstanz

November 2, 2001; September 24, 2002; March 6, 2003

In this article we introduce the concept of excess volume durations, which are defined as the time until a given amount of buy or sell excess volume is traded on the market. Excess volume durations indicate the one-sided intensity of liquidity demand and characterize the risk of a market maker with respect to asymmetric information and inventory problems. By modeling excess volume durations based on Box–Cox-type autoregressive conditional duration (ACD) models, it is shown that market microstructure variables are predictors for the expected liquidity demand intensity. Moreover, the length of excess volume durations is found to be positively correlated with the magnitude of the corresponding price impact and thus the market depth.

KEYWORDS: excess volume duration, inventory risk, adverse selection risk, market depth, Box-Cox ACD model


Add to CiteULike CiteULike   Add to Connotea Connotea   Add to Del.icio.us Del.icio.us    What's this?




Disclaimer: Please note that abstracts for content published before 1996 were created through digital scanning and may therefore not exactly replicate the text of the original print issues. All efforts have been made to ensure accuracy, but the Publisher will not be held responsible for any remaining inaccuracies. If you require any further clarification, please contact our Customer Services Department.