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Title:

ILLIX – A New Index for Quantifying Illiquidity

Document type:
Zeitschriftenaufsatz
Author(s):
Friederich, T.; Kraus, C.; Zagst, R.
Non-TUM Co-author(s):
ja
Cooperation:
-
Abstract:
Illiquidity is a major aspect in risk management, yet there exists no straight-forward quantification of liquidity or illiquidity. We present eight possible measures of liquidity which are partially based on micro structural market data and examine their evolution over time in the context of the development of financial markets. These eight measures form the data basis of the new illiquidity index ILLIX. In this paper, we outline the calculation of this index and show that it is well able to des...     »
Intellectual Contribution:
Contribution to Practice
Journal title:
Journal of Financial Transformation
Year:
2012
Journal volume:
34
Pages contribution:
183-193
Reviewed:
ja
Language:
en
Semester:
SS 02
Format:
Text
Key publication:
Nein
Peer reviewed:
Ja
International:
Ja
Book review:
Nein
Commissioned:
not commissioned
Professional Journal:
Nein
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