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Relative Liquidity and Future Volatility

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Authors and Corporations: Valenzuela, Marcela (Author), Zer, Ilknur (Other), Fryzlewicz, Piotr (Other), Rheinlander, Thorsten (Other)
Other Authors: Zer, Ilknur [Other] • Fryzlewicz, Piotr [Other] • Rheinlander, Thorsten [Other]
Type of Resource: E-Book
Language: English
[S.l.] SSRN [2015]
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
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