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Understanding liquidity: a closer look at the limit order book

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dc.affiliation.dptoUC3M. Departamento de Economía de la Empresaes
dc.contributor.authorMartínez, Miguel Ángel
dc.contributor.authorTapia, Mikel
dc.contributor.authorRubio, Gonzalo
dc.contributor.editorUniversidad Carlos III de Madrid. Departamento de Economía de la Empresa
dc.date.accessioned2011-01-12T16:26:08Z
dc.date.available2011-01-12T16:26:08Z
dc.date.issued2000-07
dc.description.abstractThis paper estimates a new measure of liquidity costs in a market driven by orders. It represents the cost of simultaneously buying and selling a given amount of shares, and it is given by a single measure of liquidity which is just an increasing function relating bid-ask spreads with size. This measure completely characterizes the cost of liquidity of any given asset. It does not suffer from the usual ambiguities related to either the bid-ask spread or depth when they are considered separately. With a single measure, we are able to capture all dimensions associated with liquidity costs. The seasonality behavior of the liquidity cost is also analyzed.
dc.format.mimetypeapplication/octet-stream
dc.format.mimetypeapplication/octet-stream
dc.format.mimetypeapplication/pdf
dc.identifier.urihttps://hdl.handle.net/10016/9961
dc.language.isoeng
dc.relation.ispartofseriesUC3M Working papers. Business Economics
dc.relation.ispartofseries00-52
dc.rightsAtribución-NoComercial-SinDerivadas 3.0 España
dc.rights.accessRightsopen access
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/3.0/es/
dc.subject.ecienciaEmpresa
dc.subject.jelG14
dc.subject.otherLiquidity function
dc.subject.otherLiquidity cost
dc.subject.otherOpen limit order book
dc.subject.otherBid-ask spread
dc.subject.otherDepth
dc.subject.otherAdverse selection
dc.titleUnderstanding liquidity: a closer look at the limit order book
dc.typeworking paper*
dspace.entity.typePublication
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