Publication: Understanding liquidity: a closer look at the limit order book
dc.affiliation.dpto | UC3M. Departamento de Economía de la Empresa | es |
dc.contributor.author | Martínez, Miguel Ángel | |
dc.contributor.author | Tapia, Mikel | |
dc.contributor.author | Rubio, Gonzalo | |
dc.contributor.editor | Universidad Carlos III de Madrid. Departamento de Economía de la Empresa | |
dc.date.accessioned | 2011-01-12T16:26:08Z | |
dc.date.available | 2011-01-12T16:26:08Z | |
dc.date.issued | 2000-07 | |
dc.description.abstract | This 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.mimetype | application/octet-stream | |
dc.format.mimetype | application/octet-stream | |
dc.format.mimetype | application/pdf | |
dc.identifier.uri | https://hdl.handle.net/10016/9961 | |
dc.language.iso | eng | |
dc.relation.ispartofseries | UC3M Working papers. Business Economics | |
dc.relation.ispartofseries | 00-52 | |
dc.rights | Atribución-NoComercial-SinDerivadas 3.0 España | |
dc.rights.accessRights | open access | |
dc.rights.uri | http://creativecommons.org/licenses/by-nc-nd/3.0/es/ | |
dc.subject.eciencia | Empresa | |
dc.subject.jel | G14 | |
dc.subject.other | Liquidity function | |
dc.subject.other | Liquidity cost | |
dc.subject.other | Open limit order book | |
dc.subject.other | Bid-ask spread | |
dc.subject.other | Depth | |
dc.subject.other | Adverse selection | |
dc.title | Understanding liquidity: a closer look at the limit order book | |
dc.type | working paper | * |
dspace.entity.type | Publication |
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