Comptes Rendus
Instantaneous liquidity rate, its econometric measurement by volatility feedback
[Prime instantanée de liquidité et sa mesure économétrique par les volatilités itérées]
Comptes Rendus. Mathématique, Volume 334 (2002) no. 6, pp. 505-508.

Dans le cas univarié l'existence de la prime instantanée de liquidité est démontrée, ceci indépendamment de toute spécification du modéle ; ce taux donne une mesure quantitative de la stabilité du marché. Nous établissons une formule mathématique donnant la prime instantanée de liquidité en terms de termes de volatilités itérées, qui, pour les valeurs objets d'un nombre élevé de cotations, sont économétriquement mesurables.

In the univariate case we show mathematical existence, in real time and model free, of the instantaneous liquidity rate, which is a measure of the market stability. We give a mathematical formula expressing the instantaneous liquidity rate in terms of self cross volatilities, which, for frequently traded assets, are econometrically measurable.

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DOI : 10.1016/S1631-073X(02)02297-5

Paul Malliavin 1 ; Maria Elvira Mancino 2

1 10, rue Saint Louis en l'Isle, 75004 Paris, France
2 DIMAD, Universitá di Firenze, Via Lombroso 6/17, 50134 Firenze, Italy
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Paul Malliavin; Maria Elvira Mancino. Instantaneous liquidity rate, its econometric measurement by volatility feedback. Comptes Rendus. Mathématique, Volume 334 (2002) no. 6, pp. 505-508. doi : 10.1016/S1631-073X(02)02297-5. https://comptes-rendus.academie-sciences.fr/mathematique/articles/10.1016/S1631-073X(02)02297-5/

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