RT Generic
T1 Understanding liquidity: a closer look at the limit order book
A1 Martínez, Miguel Ángel
A1 Tapia, Mikel
A1 Rubio, Gonzalo
A2 Universidad Carlos III de Madrid. Departamento de Economía de la Empresa, 
AB 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.
YR 2000
FD 2000-07
LK https://hdl.handle.net/10016/9961
UL https://hdl.handle.net/10016/9961
LA eng
DS e-Archivo
RD 27 jul. 2024