On the computation of LOT liquidity measure

DOI10.1016/J.ECONLET.2015.08.030zbMath1398.91723OpenAlexW3126076808MaRDI QIDQ1667885

Wandi Zhao, Mingjin Wang

Publication date: 31 August 2018

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2015.08.030

zbMATH Keywords

estimationsimulationliquidityLOT model

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Actuarial science and mathematical finance (91G99)

Cites Work

• Estimation of Relationships for Limited Dependent Variables
• Continuous Auctions and Insider Trading
• A Statistical Model of Friction in Economics

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