The Econometrics of Systemic Risk under Market Microstructure and Liquidity Frictions

Organisation/Company Luiss Guido Carli Research Field Economics Researcher Profile Recognised Researcher (R2) Leading Researcher (R4) First Stage Researcher (R1) Established Researcher (R3) Application Deadline 15 Jul 2026 - 14:00 (UTC) Country Italy Type of Contract To be defined Job Status Not Applicable Is the job funded through the EU Research Framework Programme? Not funded by a EU programme Is the Job related to staff position within a Research Infrastructure? No

Offer Description

This project develops an innovative framework to measure and monitor volatility and liquidity risks within a systemic risk context.
Unlike traditional metrics (such as the Amihud measure), which are limited by low-frequency data and market microstructure noise, this research proposes high-frequency, non‑parametric measures. Based on realized volatility theory and infill asymptotics, these metrics precisely estimate market depth at an intraday level.
The objective is to decompose trading volume into:
A persistent liquidity component
Sudden jumps (shocks driven by new information)
The analysis highlights the dynamic properties of liquidity risk (clustering, persistence, and asymmetric responses to market downturns), empirically demonstrating that illiquidity shocks represent a significant, market‑priced risk that is crucial for price efficiency.

• Italy

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