英文标题：
《Convenient liquidity measure for Financial markets》
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作者：
Oleh Danyliv, Bruce Bland, Daniel Nicholass
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最新提交年份：
2014
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英文摘要：
A liquidity measure based on consideration and price range is proposed. Initially defined for daily data, Liquidity Index (LIX) can also be estimated via intraday data by using a time scaling mechanism. The link between LIX and the liquidity measure based on weighted average bid-ask spread is established. Using this liquidity measure, an elementary liquidity algebra is possible: from the estimation of the execution cost, the liquidity of a basket of instruments is obtained. A formula for the liquidity of an ETF, from the liquidity of its constituencies and the liquidity of ETF shares, is derived.
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中文摘要：
提出了一种基于对价和价格区间的流动性度量方法。最初为每日数据定义的流动性指数（LIX）也可以通过使用时间标度机制的日内数据进行估计。建立了LIX与基于加权平均买卖价差的流动性度量之间的联系。使用这种流动性度量，一个基本的流动性代数是可能的：通过对执行成本的估计，可以得到一篮子工具的流动性。根据ETF的客户流动性和ETF股票流动性，推导出了ETF的流动性公式。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Trading and Market Microstructure 交易与市场微观结构
分类描述：Market microstructure, liquidity, exchange and auction design, automated trading, agent-based modeling and market-making
市场微观结构，流动性，交易和拍卖设计，自动化交易，基于代理的建模和做市
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