Holden, Craig W.; Jacobsen, Stacey; Subrahmanyam, Avanidhar - In: Foundations and Trends(R) in Finance 8 (2014) 4, pp. 263-365
We provide a synthesis of the empirical evidence on market liquidity. The liquidity measurement literature has established standard measures of liquidity that apply to broad categories of market microstructure data. Specialized measures of liquidity have been developed to deal with data...
