Rubio Irigoyen, Gonzalo; Sedano, Martínez; Angel, Miguel; … - Departamento de Fundamentos del Análisis Económico … - 2002
This paper estimates a new measure of liquidity costs in a market driven by orders. It represents thecost of simultaneously buying and selling a given amount of shares, and it is given by a single measure of ex-ante liquidity that aggregates all available information in the limit order book for...