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Liquidity and efficiency

Keith Siilats, Trinity College, 3pm, Friday, Papre 7, Banking




Joshua Aizenman

Andrew Powell

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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