{"id":"https://openalex.org/W13735998","doi":"https://doi.org/10.1007/978-3-662-04790-3_9","title":"A Simple Model of Liquidity Effects","display_name":"A Simple Model of Liquidity Effects","publication_year":2002,"publication_date":"2002-01-01","ids":{"openalex":"https://openalex.org/W13735998","doi":"https://doi.org/10.1007/978-3-662-04790-3_9","mag":"13735998"},"language":"en","primary_location":{"id":"doi:10.1007/978-3-662-04790-3_9","doi":"https://doi.org/10.1007/978-3-662-04790-3_9","is_oa":false,"landing_page_url":"https://doi.org/10.1007/978-3-662-04790-3_9","pdf_url":null,"source":{"id":"https://openalex.org/S4306463937","display_name":"Springer eBooks","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/P4310319965","host_organization_name":"Springer Nature","host_organization_lineage":["https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer Nature"],"type":"ebook platform"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Advances in Finance and Stochastics","raw_type":"book-chapter"},"volume":{"id":"https://openalex.org/W2506941141","display_name":"Advances in Finance and Stochastics"},"type":"book-chapter","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5088016319","display_name":"L. C. G. Rogers","orcid":"https://orcid.org/0000-0003-2006-8806","observed_orcids":["https://orcid.org/0000-0003-2006-8806"]},"institutions":[{"id":"https://openalex.org/I51601045","display_name":"University of Bath","ror":"https://ror.org/002h8g185","country_code":"GB","type":"education","lineage":["https://openalex.org/I51601045"]}],"countries":["GB"],"is_corresponding":false,"raw_author_name":"L.-C.-G. Rogers","raw_affiliation_strings":["Department of Mathematical Sciences, University of Bath, UK","#N#\u00a7#N#University of Bath#N#"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Mathematical Sciences, University of Bath, UK","institution_ids":["https://openalex.org/I51601045"]},{"raw_affiliation_string":"#N#\u00a7#N#University of Bath#N#","institution_ids":["https://openalex.org/I51601045"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5078787183","display_name":"Omar Zane","orcid":null,"observed_orcids":[]},"institutions":[{"id":"https://openalex.org/I4405261348","display_name":"Warburg Institute","ror":"https://ror.org/055ttrf22","country_code":"GB","type":"facility","lineage":["https://openalex.org/I124357947","https://openalex.org/I2802488147","https://openalex.org/I4405261348"]}],"countries":["GB"],"is_corresponding":false,"raw_author_name":"Omar Zane","raw_affiliation_strings":["Warburg Dillon Read, London, UK","Warburg Dillon Read"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Warburg Dillon Read, London, UK","institution_ids":["https://openalex.org/I4405261348"]},{"raw_affiliation_string":"Warburg Dillon Read","institution_ids":[]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":2,"corresponding_author_ids":[],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":7.0451,"has_fulltext":false,"cited_by_count":54,"citation_normalized_percentile":{"value":0.96555867,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":89,"max":98},"biblio":{"volume":null,"issue":null,"first_page":"161","last_page":"176"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9976000189781189,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9976000189781189,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11413","display_name":"Risk and Portfolio Optimization","score":0.0008999999845400453,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.00039999998989515007,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/liquidity-constraints","display_name":"liquidity constraints","score":0.9959999918937683},{"id":"https://openalex.org/keywords/optimal-consumption","display_name":"optimal consumption","score":0.5320000052452087},{"id":"https://openalex.org/keywords/portfolio-optimization","display_name":"portfolio optimization","score":0.6579999923706055},{"id":"https://openalex.org/keywords/crra-utility","display_name":"CRRA utility","score":0.8759999871253967},{"id":"https://openalex.org/keywords/merton-problem","display_name":"Merton problem","score":0.9210000038146973},{"id":"https://openalex.org/keywords/poisson-process","display_name":"Poisson process","score":0.9179999828338623},{"id":"https://openalex.org/keywords/asymptotic-expansion","display_name":"asymptotic expansion","score":0.9049999713897705},{"id":"https://openalex.org/keywords/risky-assets","display_name":"risky assets","score":0.6079999804496765}],"concepts":[{"id":"https://openalex.org/C183582576","wikidata":"https://www.wikidata.org/wiki/Q184783","display_name":"Market liquidity","level":2,"score":0.7519776821136475},{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.7313108444213867},{"id":"https://openalex.org/C100906024","wikidata":"https://www.wikidata.org/wiki/Q205692","display_name":"Poisson distribution","level":2,"score":0.66534024477005},{"id":"https://openalex.org/C76178495","wikidata":"https://www.wikidata.org/wiki/Q4808784","display_name":"Asset (computer security)","level":2,"score":0.6136239171028137},{"id":"https://openalex.org/C30772137","wikidata":"https://www.wikidata.org/wiki/Q5164762","display_name":"Consumption (sociology)","level":2,"score":0.5781821012496948},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.49965405464172363},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.4971165955066681},{"id":"https://openalex.org/C90673727","wikidata":"https://www.wikidata.org/wiki/Q901718","display_name":"Product (mathematics)","level":2,"score":0.47534653544425964},{"id":"https://openalex.org/C2780586882","wikidata":"https://www.wikidata.org/wiki/Q7520643","display_name":"Simple (philosophy)","level":2,"score":0.4545409679412842},{"id":"https://openalex.org/C14036430","wikidata":"https://www.wikidata.org/wiki/Q3736076","display_name":"Function (biology)","level":2,"score":0.43811577558517456},{"id":"https://openalex.org/C144237770","wikidata":"https://www.wikidata.org/wiki/Q747534","display_name":"Mathematical economics","level":1,"score":0.43641069531440735},{"id":"https://openalex.org/C182306322","wikidata":"https://www.wikidata.org/wiki/Q1779371","display_name":"Order (exchange)","level":2,"score":0.4311317801475525},{"id":"https://openalex.org/C166144826","wikidata":"https://www.wikidata.org/wiki/Q1145117","display_name":"Poisson process","level":3,"score":0.42711761593818665},{"id":"https://openalex.org/C175444787","wikidata":"https://www.wikidata.org/wiki/Q39072","display_name":"Microeconomics","level":1,"score":0.33426934480667114},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.31296291947364807},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.2529718279838562},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.20643827319145203},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.1895710825920105},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.07650172710418701},{"id":"https://openalex.org/C144024400","wikidata":"https://www.wikidata.org/wiki/Q21201","display_name":"Sociology","level":0,"score":0.0},{"id":"https://openalex.org/C138885662","wikidata":"https://www.wikidata.org/wiki/Q5891","display_name":"Philosophy","level":0,"score":0.0},{"id":"https://openalex.org/C111472728","wikidata":"https://www.wikidata.org/wiki/Q9471","display_name":"Epistemology","level":1,"score":0.0},{"id":"https://openalex.org/C86803240","wikidata":"https://www.wikidata.org/wiki/Q420","display_name":"Biology","level":0,"score":0.0},{"id":"https://openalex.org/C38652104","wikidata":"https://www.wikidata.org/wiki/Q3510521","display_name":"Computer security","level":1,"score":0.0},{"id":"https://openalex.org/C78458016","wikidata":"https://www.wikidata.org/wiki/Q840400","display_name":"Evolutionary biology","level":1,"score":0.0},{"id":"https://openalex.org/C36289849","wikidata":"https://www.wikidata.org/wiki/Q34749","display_name":"Social science","level":1,"score":0.0},{"id":"https://openalex.org/C2524010","wikidata":"https://www.wikidata.org/wiki/Q8087","display_name":"Geometry","level":1,"score":0.0}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1007/978-3-662-04790-3_9","doi":"https://doi.org/10.1007/978-3-662-04790-3_9","is_oa":false,"landing_page_url":"https://doi.org/10.1007/978-3-662-04790-3_9","pdf_url":null,"source":{"id":"https://openalex.org/S4306463937","display_name":"Springer eBooks","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/P4310319965","host_organization_name":"Springer Nature","host_organization_lineage":["https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer Nature"],"type":"ebook platform"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Advances in Finance and Stochastics","raw_type":"book-chapter"}],"best_oa_location":null,"sustainable_development_goals":[],"sustainable_development_goals_aurora":[{"display_name":"Decent work and economic growth","id":"https://metadata.un.org/sdg/8","score":0.4399999976158142}],"study_designs":[],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":10,"referenced_works":["https://openalex.org/W206086817","https://openalex.org/W1984697146","https://openalex.org/W2092487949","https://openalex.org/W2115580984","https://openalex.org/W2490157547","https://openalex.org/W2497607697","https://openalex.org/W2796337403","https://openalex.org/W4235679898","https://openalex.org/W6722789974","https://openalex.org/W6737702223"],"related_works":["https://openalex.org/W1994353573","https://openalex.org/W3122697575","https://openalex.org/W7099532432","https://openalex.org/W1581736738","https://openalex.org/W7009245896","https://openalex.org/W2082791816","https://openalex.org/W7160053633","https://openalex.org/W2086764551","https://openalex.org/W2365552070","https://openalex.org/W3137061652"],"abstract_inverted_index":null,"counts_by_year":[{"year":2025,"cited_by_count":3},{"year":2024,"cited_by_count":4},{"year":2023,"cited_by_count":3},{"year":2021,"cited_by_count":3},{"year":2020,"cited_by_count":1},{"year":2019,"cited_by_count":2},{"year":2018,"cited_by_count":1},{"year":2016,"cited_by_count":2},{"year":2015,"cited_by_count":1},{"year":2014,"cited_by_count":3},{"year":2013,"cited_by_count":4},{"year":2012,"cited_by_count":3}],"updated_date":"2026-10-16T09:59:22.235173","created_date":"2016-06-24T00:00:00"}
