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Autocorrelation of returns can be used as a proxy measure for liquidity of the asset. The degree of serial correlation in an asset’s returns can be viewed as a proxy for the magnitude of the frictions, and illiquidity is one of the most common forms of such frictions. A strongly liquid asset should reveal no serial autocorrelation. You can perhaps build ...


Couple points for your consideration: At the time of order execution: You are most likely a liquidity taker and thus are rendered a service by those that provide liquidity and you compete for taking liquidity with other takers in the market. As such you need to have a firm grasp at the market impact of your order. Liquidity can be extremely dynamic even ...


So far I only know that SunGard has a product named "Ambit Focus", where its module "Liquidity Risk" supports the LCR and NSFR reports according to Basel III liquidity rules.


OneSumX (FRS Global - now officially Wolters Kluwer Financial Services). Due to the impact on market risk (explicit creation of new contracts from available liquidity lines, firstly affected by interest rate risk) and on credit risk (negative exposure to be considered in the LCR, and not simply floored to zero) you might need both the market and liquidity ...

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