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Liquidity Creation and Volatility Risk by mytruth.rely05 is a document available to read on EtoBox.

What is Liquidity Creation and Volatility Risk about?

The document explores the relationship between liquidity creation and volatility risk, demonstrating that liquidity providers are negatively exposed to volatility due to their positions being exploited by informed investors. Empirical analysis reveals that short-term reversal strategies, which mimic liquidity creation, exhibit significant negative exposure to volatility shocks, particularly during periods of high volatility like the 2008 financial crisis. The findings suggest that the premium earned from li

Author

mytruth.rely05

Language

EN