Liquidity and efficiency

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

 

VOLATILITY AND FINANCIAL

INTERMEDIATION

Joshua Aizenman

Andrew Powell

Working Paper 6320

http://www.nber.org/papers/w6320

 

 

 

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

 

 

 

 

 

 

 

 

 

References

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