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Boththe base and term depos cannot be equal to libor rates. This is because the forward points and spot are known , so, whatever rate you choose for 1 of the interest rates, the other will be implied from the arbitrage equation fwd=spot x (1 +rT)/(1+qT) Practice in recent years has been to have the usd int rate come from the 3m libor curve.

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Deposits are tradable instruments and the deposit rates on broker screens etc. represent indicative market quotes for these instruments. They can be traded for any maturity in theory but most deposits would be less than a year in maturity. LIBOR rates, on the other hand are benchmark interest rates for selected maturities, published each working day by a ...

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You can use refined methodologies but if you just need a rough estimation of liquidity, you can simply use an average of daily volume over N days. In practice, for equities, people tend to use N = 20 or 30. Once you have the average daily volume (say 100,000 shares), you compare it to your holding (say 50,000 shares) to determine the the size of your ...

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I think one of the main liquidity measures is the one from Pastor and Stambaugh (2003). You can use it for both individual stocks or indexes. Just run the following intra-month regression with daily data: $r^e_{i,d+1,t} = \theta_{i,t}+\phi_{i,t}r_{i,d,t}+\gamma_{i,t}sign(r^e_{i,d,t}) \times v_{i,d,t}+\epsilon_{i,d+1,t}$. Where $r^e_{i,d+1,t}$ is the ...

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I would consider Amihud (2002) as a good first approximation with that level of data.

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For small changes, the log-return $\ln \frac{S_{t_i}}{S_{t_{i-1}}}$ is close to the simple return $\frac{S_{t_i}-S_{t_{i-1}}}{S_{t_{i-1}}}$: \begin{align*} \ln \frac{S_{t_i}}{S_{t_{i-1}}} &= \ln \Big(1+ \frac{S_{t_i}-S_{t_{i-1}}} {S_{t_{i-1}}} \Big)\\ &\approx \frac{S_{t_i}-S_{t_{i-1}}}{S_{t_{i-1}}}. \end{align*} Note also that, assuming the SDE ...

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