arXiv research

Research proposes a model to estimate transaction costs and assess asset liquidity risk.

Study shows how crypto asset liquidity is affected by wash trading and proposes treatment to reduce liquidity diffusion.

The study introduces new liquidity measures and models for assets with extreme liquidity.

Third part of a study on liquidity risk in asset management, focusing on managing the asset-liability liquidity risk.

The kind of realized mission inflows the sensitivity to risk. Among other factors, the risk results from decision about liquid assets investment level and liquid assets financing. The higher the risk exposure, the higher the level of liquid assets. If the specific risk exposure is smaller, the more aggressive could be …

Optimal early liquidation strategy reduces financial losses during crises.

Investigates consumption and investment strategies with preference for liquid assets.

This study examines whether tokenized assets improve liquidity and finds significant differences across categories.

Optimal strategy for liquidating portfolios under discrete time intervals.

Optimal design of automated market makers for decentralized exchanges.

Study long-term asset liquidation behavior with external flows.

Improved ARMA-GARCH model for illiquid assets like cryptocurrencies.

Management of the portfolios containing low liquidity assets is a tedious problem. The buyer proposes the price that can differ greatly from the paper value estimated by the seller, the seller, on the other hand, can not liquidate his portfolio instantly and waits for a more favorable offer. To minimize losses in this …

This research proposes methods to model and assess liability liquidity risk in asset management.

This paper provides a framework for modeling the financial system with multiple illiquid assets when liquidation of illiquid assets is caused by failure to meet a leverage requirement. This extends the network model of Cifuentes, Shin & Ferrucci (2005) which incorporates a single asset with fire sales and capital adequ…

This paper models financial contagion with endogenously determined market liquidity.

We present a large-scale study of commonality in liquidity and resilience across assets in an ultra high-frequency (millisecond-timestamped) Limit Order Book (LOB) dataset from a pan-European electronic equity trading facility. We first show that extant work in quantifying liquidity commonality through the degree of ex…

New framework detects crypto wash trading using liquidity measures.

New metric to measure liquidity position PNL, delta hedging algorithm for automated market makers.

We characterize the collective phenomena of a liquid market. By interpreting the behavior of a no-arbitrage N asset market in terms of a particle system scenario, (thermo)dynamical-like properties can be extracted from the asset kinetics. In this scheme the mechanisms of the particle interaction can be widely investiga…

This work addresses the problem of optimal pricing and hedging of a European option on an illiquid asset Z using two proxies: a liquid asset S and a liquid European option on another liquid asset Y. We assume that the S-hedge is dynamic while the Y-hedge is static. Using the indifference pricing approach we derive a HJ…

Develops numerical methods for pricing exchange options in a market with limited liquidity.

Model predicts asset prices from initial shocks using neural networks.

Enhances crypto-asset AMM with deep learning for better liquidity and efficiency.

Tokenized RWAs face liquidity issues despite promising markets.

This paper provides a framework for modeling the financial system with multiple illiquid assets during a crisis. This work generalizes the paper by Amini, Filipovic and Minca (2016) by allowing for differing liquidation strategies. The main result is a proof of sufficient conditions for the existence of an equilibrium …

Asset liquidity in modern financial markets is a key but elusive concept. A market is often said to be liquid when the prevailing structure of transactions provides a prompt and secure link between the demand and supply of assets, thus delivering low costs of transaction. Providing a rigorous and empirically relevant d…

The paper calculates optimal trading turnover in terms of asset liquidity and alpha autocorrelation.

This paper addresses AMMs for expiring assets, ensuring liquidity and risk management.

The study identifies features making cross-impact relevant in explaining price variance of US assets.

The supplement proves the existence and properties of a dynamical system related to asset price bubbles.

Study asset price bubbles using random matching and stochastic factors.

Optimizes asset allocation with illiquid assets using MPC.

Develops a new model to better estimate cryptocurrency and stock volatility.

We consider trading against a hedge fund or large trader that must liquidate a large position in a risky asset if the market price of the asset crosses a certain threshold. Liquidation occurs in a disorderly manner and negatively impacts the market price of the asset. We consider the perspective of small investors whos…

Paper develops a risk scoring framework for tokenized RWA markets.

We consider an optimal consumption/investment problem to maximize expected utility from consumption. In this market model, the investor is allowed to choose a portfolio which consists of one bond, one liquid risky asset (no transaction costs) and one illiquid risky asset (proportional transaction costs). We fully chara…

Market maker handles negative prices with unique asset swapping.

Study on Kyle's model with stochastic liquidity impacts asset volatility.

The study identifies impactful news articles based on liquidity changes, improving asset return prediction.

Cryptocurrencies are examined through the asset flow equations and experimental asset markets. Since tangible value of a typical cryptocurrency is non-existent, the theory suggests that price will gravitate toward liquidity value, i.e., the total amount of cash available for purchase of the asset divided by the number …

Derives pricing formulas for liquidity tokens in CPMMs, showing riskless growth.

The paper studies price impacts in asset liquidation markets.

We study the problem of optimal pricing and hedging of a European option written on an illiquid asset $Z$ using a set of proxies: a liquid asset $S$, and $N$ liquid European options $P_i$, each written on a liquid asset $Y_i, i=1,N$. We assume that the $S$-hedge is dynamic while the multi-name $Y$-hedge is static. Usin…

Model liquidity premia using a risk-sharing economy with quadratic costs.

Paper analyzes fire sales in a network of banks using VWAP and LOB pricing.

New dynamic curves improve cryptocurrency exchange liquidity.

We extend Kyle's model to include stochastic liquidity and multiple assets.