What liquidity do hypothetical price impact curves measure?

Matei Demetrescu

Applied Financial Economics Letters, 2006, vol. 2, issue 5, 301-303

Abstract: The price impact of hypothetical large orders is widely used as a proxy for (lack of) liquidity. Its adequacy as a liquidity measure is questioned.

Date: 2006
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DOI: 10.1080/17446540600649868

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