Liquidity Estimation

Tommi A. Vuorenmaa
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Tommi A. Vuorenmaa: VALO Research and Trading

Chapter 3 in Lit and Dark Liquidity with Lost Time Data: Interlinked Trading Venues around the Global Financial Crisis, 2014, pp 23-27 from Palgrave Macmillan

Abstract: Abstract The econometric methods used to estimate liquidity as well as the motivation for their application with market data is described.

Keywords: Trading Volume; Absolute Return; Dark Liquidity; Liquidity Estimation; Return Continuation (search for similar items in EconPapers)
Date: 2014
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Persistent link: https://EconPapers.repec.org/RePEc:pal:palchp:978-1-137-39685-3_3

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DOI: 10.1057/9781137396853_3

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