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497
Technical Analysis and Liquidity Provision
"... The apparent conflict between the level of resources dedicated to technical analysis by practitioners and academic theories of market efficiency is a long-standing puzzle. We offer an alternative explanation for the value of technical analysis that is consistent with market efficiency -- specificall ..."
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-- specifically, that it reveals information about liquidity provision. We find evidence consistent with the hypotheses that support and resistance levels coincide with peaks in depth on the limit order book and that moving average forecasts reveal information about the relative position of depth on the book
Iceberg Orders and the Compensation for Liquidity Provision
, 2008
"... Iceberg Orders and the Compensation for Liquidity Provision: Limit order books in many markets contain hidden liquidity because traders are able to submit iceberg orders. We study the interaction between hidden liquidity and overall liquidity provision using a sample from a limit order market that i ..."
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Cited by 1 (0 self)
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Iceberg Orders and the Compensation for Liquidity Provision: Limit order books in many markets contain hidden liquidity because traders are able to submit iceberg orders. We study the interaction between hidden liquidity and overall liquidity provision using a sample from a limit order market
THE FRAMEWORK FOR EXTRAORDINARY LIQUIDITY PROVISION
, 2010
"... using existing tools in new ways. The purpose of the current report is to show how the principles were used to guide the extraordinary liquidity interventions by the Bank in ways that mitigated moral hazard.1 ..."
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using existing tools in new ways. The purpose of the current report is to show how the principles were used to guide the extraordinary liquidity interventions by the Bank in ways that mitigated moral hazard.1
Pricing Fund Liquidity Provision
"... Authorized for distribution by Emmanuel van der Mensbrugghe ..."
Monitoring, liquidity provisions, and financial crises By
, 2009
"... This paper analyzes central bank policies on the monitoring of banks in distress in which liquidity provisions are conditional on performance when a bad shock occurs. A sequential game model is used to analyze two policies: the first one in which the central bank acts with discretion and the second ..."
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This paper analyzes central bank policies on the monitoring of banks in distress in which liquidity provisions are conditional on performance when a bad shock occurs. A sequential game model is used to analyze two policies: the first one in which the central bank acts with discretion and the second
Liquidity provision and stock return predictability
"... This paper examines the trading behavior of two groups of liquidity providers (specialists and competing market makers) using a six-year panel of NYSE data. Trades of each group are negatively correlated with contemporaneous price changes. To test for return predictability, we sort stocks into quin ..."
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points per week (act as complements). Finally, we identify a ''chain'' of liquidity provision. Designated market makers (NYSE specialists) initially trade against order flows and prices changes. Specialists later mean revert their inventories by trading with competing market makers
Systemic Risk, Interbank Relations and Liquidity Provision by the Central Bank
, 1999
"... We model systemic risk in an interbank market. Banks face liquidity needs as consumers are uncertain about where they need to consume. Interbank credit lines allow to cope with these liquidity shocks while reducing the cost of maintaining reserves. However, the interbank market exposes the system to ..."
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Cited by 203 (11 self)
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We model systemic risk in an interbank market. Banks face liquidity needs as consumers are uncertain about where they need to consume. Interbank credit lines allow to cope with these liquidity shocks while reducing the cost of maintaining reserves. However, the interbank market exposes the system
Liquidity Provision, Interest Rates, and Unemployment
"... This paper develops a continuous-time model of the public and private provision of liquidity and its relation to unemployment. We extend the Mortensen-Pissarides model of the labor market by adding an over-the-counter (OTC) market where trades are collateralized with claims on …rms ’ pro…ts and publ ..."
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Cited by 2 (2 self)
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This paper develops a continuous-time model of the public and private provision of liquidity and its relation to unemployment. We extend the Mortensen-Pissarides model of the labor market by adding an over-the-counter (OTC) market where trades are collateralized with claims on …rms ’ pro
Opacity and the Optimality of Debt for Liquidity Provision +
"... Abstract Asymmetric information can reduce trade (possibly to zero) due to adverse selection. Symmetric information can facilitate trade. We show that trade between agents is maximized, and welfare highest, when neither party to a transaction has any information about the future payoffs of the secu ..."
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transparency would reduce welfare. Finally, even if there is adverse selection in the market, debt maximizes the amount of trade. For the economy as a whole there is a systemic risk of using debt to provide liquidity: an aggregate shock, if bad enough, can be made worse by triggering private information
Results 1 - 10
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497
