I'd like to research the impact of certain events and characteristics on the liquidity of the stocks over time. I've got a sample of 200 stocks and I use several measures of liquidity (Amihud, Bid-Ask ...
I'm going to write the MSc thesis on flight-to-liquidity phenomenon in stock markets and I'm interested in liquidity measures other than Amihud or bid-ask spread. What are some other popular measures ...
i am developing a simulation trading in US stocks. i have 1 transaction a day per stock, assumed for simplicity to be executed at the daily closing price. in order to determine a reasonable maximal ...