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The effect of liquidity on the asset prices

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2010
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Abstract (EN)

In this thesis the effect of the high/low liquidity in the market on the asset prices is studied by deriving a system of ordinary differential equations. The model is an extension of the model introduced by Caginalp and Merdan for the system which involves a single asset traded by two groups. The aim of this model is to determine the effect of the investment strategies to the asset prices. These strategies are based on not only trend and discount but also liquidity value. The time evolution of the asset price is compared by both models for the same example by numerical simulations.Keywords: Ordinary differential for asset pricing, dynamical system approach to mathematical finance, asset pricing theory, liquidity, asset flow.

Author

Hatice Çakmak

How to Cite

Hatice Çakmak (Master Thesis). The effect of liquidity on the asset prices, 2010, TOBB Economics and Technology University.

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