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摘要翻译：
资产流动性在现代金融市场中是一个关键但难以捉摸的概念。当一个市场的现行交易结构在资产的需求和供应之间提供了一个迅速和安全的联系，从而提供了低的交易成本时，人们常说这个市场是流动的。然而，为市场流动性提供一个严格的、与经验相关的定义是一项艰巨的任务。本文对目前用于建模和估计资产市场流动性的框架进行了批判性的回顾。我们考虑强调买卖价差作用的定义，以及对由市场摩擦的其他来源产生的其组成部分的估计。在这种情况下，日内流动性指标似乎与捕捉市场的核心特征以及向市场参与者描述新信息的能力有关。
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英文标题：
《Measuring market liquidity: An introductory survey》
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作者：
Alexandros Gabrielsen, Massimiliano Marzo, Paolo Zagaglia
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最新提交年份：
2011
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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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一级分类：Quantitative Finance 数量金融学
二级分类：General Finance 一般财务
分类描述：Development of general quantitative methodologies with applications in finance
通用定量方法的发展及其在金融中的应用
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一级分类：Quantitative Finance 数量金融学
二级分类：Portfolio Management 项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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英文摘要：
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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PDF链接：
https://arxiv.org/pdf/1112.6169
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