XVII Workshop on Quantitative Finance -- POSTER SESSION
speaker: Loriana Pellizzon
speaker: Michael Schneider (Scuola Normale Superiore)
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seminar: POSTER SESSION: Liquidity Dynamics and Illiquidity Cascades in the European Sovereign Bond Market
speaker: Fabrizio Lillo (Università di Bologna)speaker: Loriana Pellizzon
speaker: Michael Schneider (Scuola Normale Superiore)
abstract: We study the European sovereign bond market and the liquidity dynamics on its most important interdealer platform. We construct a condensed measure of liquidity at high frequencies and identify jumps in liquidity directly. Using Hawkes processes we estimate and describe the dynamics of illiquidity shocks to the market. This allows us to evaluate the impact of central bank interventions on market liquidity.
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