[Cite as http://purl.org/au-research/grants/arc/DP170101227]
Researchers Prof Song-Ping Zhu; Prof Robert Elliott; Dr Ivan Guo
Brief description This project aims to develop a theory which models the effect of liquidity on option prices under different market conditions. Economic or financial crises are inevitable and affect economics. During or after a major financial crisis, market liquidity usually becomes risky and needs to be studied. Through both empirical and theoretical explorations, this project will quantify and measure liquidity risk and its effect on the options markets. It will develop a framework to help market regulators manage illiquidity, enhance the efficiency of option trading in illiquid markets and help in the detection of market manipulation.
Funding Amount $369,000
Funding Scheme Discovery Projects