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Liquidity is easy to define qualitatively (the easiness to buy or sell an asset), but difficult to measure.

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Liquidity estimators: VWAP and IS

I am looking for some info on how to estimate liquidity (intraday). I have read some researches and created intraday measurements of liquidity on time yet not on price. … What I mean by this is that I am not looking for a liquidity profile based on time but a profile based on price, i.e. how much liquidity there is at each price level. …
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