High-frequency data and scaling laws to forecast liquidity risk
Ventriglia, Francesco Maria (A.A. 2022/2023) High-frequency data and scaling laws to forecast liquidity risk. Tesi di Laurea in Empirical finance, Luiss Guido Carli, relatore Giacomo Morelli, pp. 44. [Master's Degree Thesis]
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Abstract/Index
The relationship between liquidity risk management and market microstructure. The field of market microstructure. The importance of liquidity risk management. Methodology. The concept of scaling law. Empirical models used to estimate liquidity risk. Empirical results.
References
Bibliografia: pp. 36-37.
| Thesis Type: | Master's Degree Thesis |
|---|---|
| Institution: | Luiss Guido Carli |
| Degree Program: | Master's Degree Programs > Master's Degree Program in Economics and Finance (LM-56) |
| Chair: | Empirical finance |
| Thesis Supervisor: | Morelli, Giacomo |
| Thesis Co-Supervisor: | Carlini, Federico Carlo Eugenio |
| Academic Year: | 2022/2023 |
| Session: | Autumn |
| Deposited by: | Alessandro Perfetti |
| Date Deposited: | 24 May 2024 14:02 |
| Last Modified: | 24 May 2024 14:02 |
| URI: | https://tesi.luiss.it/id/eprint/38678 |
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