Boston Meeting: Trading Agents and Liquidity Risk

Trading Agents and Liquidity Risk
------------------------------------------------
A recent area of concern and analysis in both financial economics and
capital markets has been liquidity. Broadly speaking, liquidity is the
ease with which a financial asset can be traded. Liquidity risk, on
the other hand, can be defined as the uncertainty associated with the
measure of liquidity. We define some measures of liquidity and
liquidity risk, for U.S. and emerging market equities. We provide
empirical evidence that validates the notion that liquidity affects
financial market performance and can be
used in a trading signal context. Further, using a simple
information-based model of liquidity, we define a model to determine
future period liquidity risk.

Please look at the following paper for more information:-
Trading Agents and Liquidity Risk, J.Cherian, S. Mahanti and M.
Subrahmanyam, Journal of Investment Management Conference Series,
Forthcoming Spring 2009.
http://www.orissagroup.com/papers/Trading_Agents_and_Liquidity_Risk.pdf