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Measuring market liquidity: An introductory survey.

Пт, 12/30/2011 - 15:01 — SomNambul
Authors: Massimiliano Marzo, Paolo Zagaglia, Alexandros Gabrielsen
Subjects: Trading and Market Microstructure
link: http://arxiv.org/abs/1112.6169
Abstract

Asset liquidity in modern financial markets is a key but elusive concept. A
market is often said to be liquid when the prevailing structure of transactions
provides a prompt and secure link between the demand and supply of assets, thus
delivering low costs of transaction. Providing a rigorous and empirically
relevant definition of market liquidity has, however, provided to be a
difficult task. This paper provides a critical review of the frameworks
currently available for modelling and estimating the market liquidity of
assets. We consider definitions that stress the role of the bid-ask spread and
the estimation of its components that arise from alternative sources of market
friction. In this case, intra-daily measures of liquidity appear relevant for
capturing the core features of a market, and for their ability to describe the
arrival of new information to market participants.

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