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Relative Liquidity and Future Volatility
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| Authors and Corporations: | , , , |
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| Other Authors: | Zer, Ilknur [Other] • Fryzlewicz, Piotr [Other] • Rheinlander, Thorsten [Other] |
| Type of Resource: | E-Book |
| Language: | English |
| published: | |
| Source: | Verbunddaten SWB Lizenzfreie Online-Ressourcen |
| Summary: | The main contribution of this paper is to identify the strong predictive power of the relative, rather than the absolute, volume of orders over volatility. To this end, we propose a new measure, relative liquidity, which accounts for how quoted depth is distributed in a limit order book and captures the level of consensus on a security's trading price. Higher liquidity provision farther away from the best quotes, relative to the rest of the book, is associated with a disagreement on the current price and followed by high volatility. The relationship is robust to the inclusion of several alternative measures |
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| Item Description: |
In: Journal of Financial Markets, Forthcoming Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments February 27, 2015 erstellt |
| Physical Description: | 1 Online-Ressource (37 p) |
| DOI: | 10.2139/ssrn.2459533 |
| Access: | Open Access |