Liquidity and efficiency
Keith Siilats, Trinity College, 3pm, Friday, Papre 7, Banking
VOLATILITY AND FINANCIAL
Working Paper 6320
Measuring forecasting and explaining time varying liquidity in the stock market. Engle, Lange. NBER WP 6129
Liquidity – ability to perform transaction without cost. Kyle – tightness, depth, resilency.
tightness – difference from the effective price. The amount of spread
depth – volume that can be traded at the current price level.
resilency – speed of adjustment after devi
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