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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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Specifically, I am looking for a function/model that predicts the price movement Given a set of ex-ante factors (e.g: liquidity, implied volatility, etc.) and As a function of the volume size (proxy for … to traditional models, I would like to model the impact of a') market-wide aggregate dynamics (including correlated orders / herding behaviors), b') calibrated under stress (with potentially reduced liquidity
asked Jan 29 '21 by sets