Abstract
This paper presents an econometric approach to liquidity modeling. We consider transaction cost indices of market liquidity based on a full order book and then try to estimate relationships with observable market variables. The research is based on the detailed market data, which include order history and trades execution data, for Moscow Interbank Currency Exchange (MICEX) listed stocks in September, 2010.
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© 2012 Springer-Verlag Berlin Heidelberg
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Arbuzov, V., Frolova, M. (2012). Market Liquidity Measurement and Econometric Modeling. In: Sornette, D., Ivliev, S., Woodard, H. (eds) Market Risk and Financial Markets Modeling. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-27931-7_5
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DOI: https://doi.org/10.1007/978-3-642-27931-7_5
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Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-642-27930-0
Online ISBN: 978-3-642-27931-7
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