http://www.qwafafew.org/boston-20090217
Next Boston QWAFAFEW Meeting: Tuesday, 17 February 2009
Time: 6:15 PM sharpe
3rd Floor of the Tennis & Racquet Club, 939 Boylston Street
[call 617-536-4630 for directions]
RSVP to Boston@QWAFAFEW.org
a QWAFAFEW discussion led by Sriketan Mahanti
Title: Trading Agents and Liquidity Risk
A recent area of concern and analysis in both financial economics and capital markets has been liquidity. Broadly speaking, liquidity is the ease with which a financial asset can be traded. Liquidity risk, on the other hand, can be defined as the uncertainty associated with the measure of liquidity. We define some measures of liquidity and liquidity risk, for U.S. and emerging market equities. We provide empirical evidence that validates the notion that liquidity affects financial market performance and can be used in a trading signal context. Further, using a simple information-based model of liquidity, we define a model to determine future period liquidity risk.
Please look at the following paper for more information:-
Trading Agents and Liquidity Risk
J. Cherian, S. Mahanti and M. Subrahmanyam, Journal of Investment Management Conference Series, Forthcoming Spring 2009.
http://www.orissagroup.com/papers/Trading_Agents_and_Liquidity_Risk.pdf
Guest fee for attendance is $30. Members attend at no charge. If you are not yet a member or have not paid your dues lately, you may pay your annual dues of $150 (your membership year starts on the day you pay). You may bring cash or a check for either amount ($150 or $30) made out to "QWAFAFEW" and give it to our Treasurer, Hugh Crowther
Please let us know if you intend to come to the meeting. Walk-ins are always welcome; still, we greatly appreciate all RSVPs so that we can have adequate food and drink on hand.
Help needed. We are always in need of people to arrive early for the meetings to help set up the seating and refreshments. If you are willing to help out please contact Hugh Crowther.
2009 Boston QWAFAFEW Schedule (names are Steerage Committee members in charge of the program)
2009
March 17 John Minahan
April 21 Dan diBartolomeo
May 19 John Nagorniak
June 16 Evan Schulman
July 21 Jarrod Wilcox
August 18 Dan Rie
September 15 Mark Kritzman
One member of the Steerage Committee is responsible for coordinating each meeting.
Program suggestions from members are always welcome. Hugh Crowther (Treasurer) and Donna Murphy also serve in an advisory capacity on our Steerage Committee.
RSVP to: Boston@QWAFAFEW.org
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