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Thumbnail for Liquidity Regime Unveiled: Integrating Liquidity Measures Through Gaussian Mixture-Driven Hidden Markov Models, Bofan Ji, UG '24 (207CEC04)

Liquidity Regime Unveiled: Integrating Liquidity…

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Liquidity Regime Unveiled: Integrating Liquidity…

Liquidity Regime Unveiled: Integrating Liquidity Measures Through Gaussian Mixture-Driven Hidden Markov Models, Bofan Ji, UG '24 (207CEC04)

Liquidity Regime Unveiled: Integrating Liquidity Measures Through Gaussian Mixture-Driven Hidden Markov Models, Bofan Ji, UG '24 (207CEC04)

Liquidity regimes are an intuitive yet elusive concept. It is easy to conceptualize how markets have periods of high liquidity, where the cost of trading is low, and periods of low liquidity, where a…

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liquidity
regime
measures
model
commodity
returns
volatility
equities
regimes
ability
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insights
matrix
models
markets
periods
liquor
straddles
assets
crisis
From  Research Princeton Research Day 1 likes 59 plays
Date
May 3rd, 2024
Speaker
Bofan Ji, UG '24 (207CEC04)
Department
Economics