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- W2348503345 abstract "The Liquidity is a conception of multiple attributes including volume,price and duration,but existing measurements of liquidity only describes part of the three attributes.Taking the trading duration,trading volume and price volatility into account,this paper firstly introduces a new approach of measuring intra-day liquidity by taking the volume absorbed per volatility in one second as proxy.Secondly,we study the intra-day pattern of liquidity using this approach.And put forward Logarithmic Autoregression Conditional Liquidity(LACL) model to search for the best model to fit and forecast the intra-day liquidity and further analyze the characteristics of liquidity.Our empirical study on Pudong Development Bank shows a same significant intraday pattern as traditional one,and has found that WLACL model in which error term follows Weibull distribution is the best model to fit and forecast intraday liquidity,buy-initiated liquidity and sell-initiated liquidity.We have also found that the liquidity process is a meanreverting process.The impact of a given liquidity on future expected liquidity will die out in Weibull form.Finally,we have got liquidity distribution at different time by kernel smoothing technology.Taking the change of liquidity distribution,which is measured by relative entropy as proxy of information content of market absorbed by trading,we found the information content by absorbed market is the largest in 10:30-11:30." @default.
- W2348503345 created "2016-06-24" @default.
- W2348503345 creator A5071825387 @default.
- W2348503345 date "2007-01-01" @default.
- W2348503345 modified "2023-09-23" @default.
- W2348503345 title "Intra-day Liquidity in Security Markets:Synthetic Measurement,Characteristics and Information Contents" @default.
- W2348503345 hasPublicationYear "2007" @default.
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