Does any single metric provide a convenient way to capture depth, breadth, and resiliency, or to distinguish between transitory and persistent effects (i.e. between the stationary and random walk components of a time-series model)?

Which of the many volume-, price-, and transaction cost-based measures are most widely adopted?

I'm trying to relate observed volatility to liquidity and first need to settle on some objective measure of liquidity

  • $\begingroup$ for what you're trying to do it sounds like some n interval dollar volume average would be sufficient. $\endgroup$ – user2183336 May 12 '16 at 0:53

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