Time-varying liquidity and market depth

zbMATH Open1150.91415MaRDI QIDQ3516635FDOQ3516635

Authors: Xiaorong Zhang, J. Xu, Shiliang Qiu 

Publication date: 6 August 2008

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zbMATH Keywords

price durationliquiditymarket depth

Mathematics Subject Classification ID

Cited In (14)

• Analysing liquidity and absorption limits of electronic markets with volume durations
• Asymmetric liquidity risk premia in intraday high frequency trading
• High-Frequency Volatility and Liquidity
• Identifying expensive trades by monitoring the limit order book
• Is liquidity wasted? The zero-returns on the Warsaw Stock Exchange
• The Price of Future Liquidity: Time-Varying Liquidity in the U.S. Treasury Market*
• Information asymmetry, liquidity and the dynamic volume-return relation in panel data analysis
• Multi-scale representation of high frequency market liquidity
• What constrains liquidity provision? Evidence from institutional trades
• What are the best liquidity proxies for global research?
• MARKET PRICE OF TRADING LIQUIDITY RISK AND MARKET DEPTH
• Excess idle time
• Liquidity and Trading Dynamics
• Title not available (Why is that?)

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