Martínez, Miguel ÁngelTapia, MikelRubio, GonzaloUniversidad Carlos III de Madrid. Departamento de Economía de la Empresa2011-01-122011-01-122000-07https://hdl.handle.net/10016/9961This 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.application/octet-streamapplication/octet-streamapplication/pdfengAtribución-NoComercial-SinDerivadas 3.0 EspañaLiquidity functionLiquidity costOpen limit order bookBid-ask spreadDepthAdverse selectionworking paperG14Empresaopen access