Since the 2008 financial crisis, researchers and policy makers have been looking to empirical data to distil both what happened and how a similar event can be avoided in the future. In Measuring Liquidity and Lost Time Data, Vuorenmaa analyses liquidity to better understand the crux of the financial crisis. By relating liquidity to jump activity, market microstructure noise variance, and average pairwise correlation, Vuorenmaa uncovers the dynamics and ramifications behind anonymous trades made outside of public exchanges, and measures its impact on the crisis. This volume is ideal for academics, students, and practitioners alike, who are interested in investigating the role of lost time in and after the recession.
- ISBN10 1137396865
- ISBN13 9781137396860
- Publish Date 26 February 2014 (first published 1 January 2014)
- Publish Status Active
- Publish Country GB
- Imprint Palgrave Macmillan
- Format eBook
- Pages 80
- Language English