A distribution-based method to gauge market liquidity through scale invariance between investment horizons

被引：8

作者：

Bianchi, Sergio ^{[1
,2
,3
]}

Pianese, Augusto ^{[2
]}

Frezza, Massimiliano ^{[2
]}

机构：

[1] Sapienza Univ Rome, Dept MEMOTEF, Rome, Italy

[2] Univ Cassino, Dept Econ & Law, QuantLab, Cassino, Italy

[3] NYU, Tandon Sch Engn, Dept Finance & Risk Engn, New York, NY USA

来源：

APPLIED STOCHASTIC MODELS IN BUSINESS AND INDUSTRY | 2020年 / 36卷 / 05期

关键词：

fractal market hypothesis; investment horizons; liquidity; scale invariance; self-similarity;

D O I：

10.1002/asmb.2531

中图分类号：

C93 [管理学]; O22 [运筹学];

学科分类号：

070105 ; 12 ; 1201 ; 1202 ; 120202 ;

摘要：

A nonparametric method is developed to detect self-similarity among the rescaled distributions of the log-price variations over a number of time scales. The procedure allows to test the statistical significance of the scaling exponent that possibly characterizes each pair of time scales and to analyze the link between self-similarity and liquidity, the core assumption of the fractal market hypothesis. The method can support financial operators in the selection of the investment horizons as well as regulators in the adoption of guidelines to improve the stability of markets. The analysis performed on the S&P500 reveals a very complex, time-changing scaling structure, which confirms the link between market liquidity and self-similarity.

引用

页码：809 / 824

页数：16

共 38 条

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