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LUND UNIVERSITY LIBRARIES

Some implications of Liquidity risk and related issues

Maxime, Dagieux (2020) In Master's Theses in Mathematical Sciences FMSM01 20201
Mathematical Statistics
Abstract (Swedish)
n this master’s thesis, one studies the liquidity of bonds. One considers bid-ask spread and develops four estimators of this liquidity measure based on trading data. One also computes Amihud’s measure. This approach helps to determine liquidity and its associ-ated costs without quotation. One finds out that the Roll, the FHT estimators and the Amihud measure take the lead. One looks at the changes in liquidity for different indus-tries, as well as the effect of the bond rating on the liquidity. One notices that industry factors do not clearly impact the bid-ask spread.
Then, some risk values driving bid-ask spread are studied. One realises regressions on the whole liquidity points and on time series. An optimal group of regressors, composed... (More)
n this master’s thesis, one studies the liquidity of bonds. One considers bid-ask spread and develops four estimators of this liquidity measure based on trading data. One also computes Amihud’s measure. This approach helps to determine liquidity and its associ-ated costs without quotation. One finds out that the Roll, the FHT estimators and the Amihud measure take the lead. One looks at the changes in liquidity for different indus-tries, as well as the effect of the bond rating on the liquidity. One notices that industry factors do not clearly impact the bid-ask spread.
Then, some risk values driving bid-ask spread are studied. One realises regressions on the whole liquidity points and on time series. An optimal group of regressors, composed of the libor option adjusted spread and time to maturity is defined.
Finally, the daily log differentiated bid-ask spread is modelled with external regressors, autoregressive, moving average and heteroscedasticity effects. One selects an ARMAX-EGARCH model and tries to forecast short term liquidity. (Less)
Please use this url to cite or link to this publication:
author
Maxime, Dagieux
supervisor
organization
course
FMSM01 20201
year
type
H2 - Master's Degree (Two Years)
subject
keywords
liquidity, bid-ask spread, FHT model, Interquartile Price Range, Roll’s measure, High-Low spread estimator, Amihud’s measure, statistical model, time series analysis, ARMAX, EGARCH.
publication/series
Master's Theses in Mathematical Sciences
report number
LUTFMS-3401-2020
ISSN
1404-6342
other publication id
2020:E80
language
English
id
9032713
date added to LUP
2020-12-09 15:35:59
date last changed
2024-10-07 15:40:50
@misc{9032713,
  abstract     = {{n this master’s thesis, one studies the liquidity of bonds. One considers bid-ask spread and develops four estimators of this liquidity measure based on trading data. One also computes Amihud’s measure. This approach helps to determine liquidity and its associ-ated costs without quotation. One finds out that the Roll, the FHT estimators and the Amihud measure take the lead. One looks at the changes in liquidity for different indus-tries, as well as the effect of the bond rating on the liquidity. One notices that industry factors do not clearly impact the bid-ask spread.
Then, some risk values driving bid-ask spread are studied. One realises regressions on the whole liquidity points and on time series. An optimal group of regressors, composed of the libor option adjusted spread and time to maturity is defined.
Finally, the daily log differentiated bid-ask spread is modelled with external regressors, autoregressive, moving average and heteroscedasticity effects. One selects an ARMAX-EGARCH model and tries to forecast short term liquidity.}},
  author       = {{Maxime, Dagieux}},
  issn         = {{1404-6342}},
  language     = {{eng}},
  note         = {{Student Paper}},
  series       = {{Master's Theses in Mathematical Sciences}},
  title        = {{Some implications of Liquidity risk and related issues}},
  year         = {{2020}},
}