Do liquidity proxies based on daily prices and quotes really measure liquidity?

Będowska-Sójka, B.; Echaust, K.

doi:10.3390/e22070783

Journal article · 2020

Do liquidity proxies based on daily prices and quotes really measure liquidity?

Będowska-Sójka, B., Echaust, K.

Entropy, 22(7), 783

DOI: 10.3390/e22070783

Full text: see the publisher version via DOI.

Research topics: Market liquidity and its measurement

Funding

NCN OPUS 13, Narodowe Centrum Nauki, grant UMO-2017/25/B/HS4/01546

Cite

@article{entropy2020_proxies,
  title = {Do liquidity proxies based on daily prices and quotes really measure liquidity?},
  author = {Będowska-Sójka, B. and Echaust, K.},
  year = {2020},
  journal = {Entropy},
  note = {22(7), 783},
  doi = {10.3390/e22070783}
}