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Quantitative Finance > Trading and Market Microstructure

arXiv:1412.5072 (q-fin)
[Submitted on 16 Dec 2014]

Title:Convenient liquidity measure for Financial markets

Authors:Oleh Danyliv, Bruce Bland, Daniel Nicholass
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Abstract:A liquidity measure based on consideration and price range is proposed. Initially defined for daily data, Liquidity Index (LIX) can also be estimated via intraday data by using a time scaling mechanism. The link between LIX and the liquidity measure based on weighted average bid-ask spread is established. Using this liquidity measure, an elementary liquidity algebra is possible: from the estimation of the execution cost, the liquidity of a basket of instruments is obtained. A formula for the liquidity of an ETF, from the liquidity of its constituencies and the liquidity of ETF shares, is derived.
Subjects: Trading and Market Microstructure (q-fin.TR)
Cite as: arXiv:1412.5072 [q-fin.TR]
  (or arXiv:1412.5072v1 [q-fin.TR] for this version)
  https://doi.org/10.48550/arXiv.1412.5072

Submission history

From: Oleh Danyliv [view email]
[v1] Tue, 16 Dec 2014 16:43:15 UTC (326 KB)
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