Speaker: Paolo Santucci de Magistris, LUISS (website)

Title: Realized Co-Illiquidity

Abstract: This paper explores market liquidity, focusing on co-liquidity and illiquidity, which are critical for both market participants and policymakers. It addresses the importance of extreme illiquidity events and their risks, particularly in high-frequency trading environments. Using high-frequency data on returns and volume, the study builds on a simple structural model and a nonparametric approach inspired by \cite{lacava2023realized}, linking market volatility, volume, and liquidity. The paper refines liquidity measurement by capturing price changes and trading volume dynamics, with a focus on illiquidity due to market frictions. It extends the framework to examine the temporal dynamics of co-(il)liquidity across various assets, providing new metrics to quantify liquidity contagion and systemic risks. This methodology bridges theory with empirical applications, offering practical tools for assessing and managing liquidity risks in diverse financial markets.

Host: Bent Jesper Christensen

Organisers: Stefán Guðmundsson and Chen Huang