LECTURE 15: LIQUIDITY, VOLATILITY AND TRANSPARENCY

The following sections are included:

• Assignment

• Liquidity

• Immediacy: Example: Best Execution Performance of an Online Broker

• An Event Study of a Liquidity Changing Event

• Event Study Methodology

• Difference in Difference DID Methodology

• Points to Remember

• Volatility

• Forecasting Volatility: GARCH (1,1)

• Points to Remember

• Reading Article

• Transparency

• Reading Article (1)

• Reading Article (2)

• Methodology

• Implications — Reading Article (3)

• Additional Reading (3) Also on BB

• The Correct Way to Calculate Spreads