出版社：Asociatia Generala a Economistilor din Romania - AGER
摘要：This paper proposes a new method based on stochastic calculus in order to analyze the liquidity on the market governed by orders in the presence of the informed agents. The paper proposes a new formula in order to compute the market liquidity. This analytical formula is obtained from the options valuation methods following the fact that an agent who places a limit order offers an option to the rest of the market which can be exercised against him. The analytical formula of the liquidity cost for a market governed by orders depends on four parameters: the risk-free interest rate, the transaction price of the financial asset, the volatility of the financial asset and the limit price.
关键词：microstructure; information asymmetry; liquidity; stochastic calculus; limit order.
