منابع مشابه
Valuation in Illiquid Markets
What is the value of a financial instrument in an illiquid market? The classical valuation theory which is based on the law of one price assumes implicitly that market participants can trade freely in both directions at the same price. In the absence of perfect liquidity the law of one price should be replaced by a two price theory where the terms of trade depend on the direction of the trade. ...
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We propose techniques for decentralizing prediction markets and order books, utilizing Bitcoin’s security model and consensus mechanism. Decentralization of prediction markets offers several key advantages over a centralized market: no single entity governs over the market, all transactions are transparent in the block chain, and anybody can participate pseudonymously to either open a new marke...
متن کاملLiquidation in Limit Order Books with Controlled Intensity
We consider a framework for solving optimal liquidation problems in limit order books. In particular, order arrivals are modeled as a point process whose intensity depends on the liquidation price. We set up a stochastic control problem in which the goal is to maximize the expected revenue from liquidating the entire position held. We solve this optimal liquidation problem for power-law and exp...
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IAPR Fellow, shares a personal sketch of his career in statistical pattern recognition. At the end, he poses questions to entice further research. Chart of some upcoming IAPR and non-IAPR workshops, conferences, and summer schools of interest to the I APR community. The views expressed in this newsletter represent the personal views of the authors and not necessarily those of their host institu...
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The present paper investigates the portfolio allocation decisions of an investor with infinite horizon when available financial assets differ in their degrees of liquidity. A model with risk neutral agents allows us to endogenously determine the liquidity premium. With risk averse agents, we develop a nontrivial portfolio allocation problem, which enables us to calculate the demand for an illiq...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2016
ISSN: 1556-5068
DOI: 10.2139/ssrn.2885316