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Regular version of the site

Book chapter

Estimation of Market Resiliency from High-Frequency Micex Shares Trading Data

P. 15-24.
Andreev N. A.

This article presents an engineering approach to estimating market resiliency based on analysis of the dynamics of a liquidity index. The method provides formal criteria for defining a “liquidity shock” on the market and can be used to obtain resiliency-related statistics for further research and estimation of this liquidity aspect. The developed algorithm uses the results of a spline approximation for observational data and allows a theoretical interpretation of the results. The method was applied to real data resulting in estimation of market resiliency for the given period.

In book

Estimation of Market Resiliency from High-Frequency Micex Shares Trading Data
Edited by: D. Sornette, S. Ivliev, H. Woodard. Berlin: Springer, 2012.