Fong, Kingsley Y. L. - 2018
We examine a general class of volatility over volume liquidity proxies as computed from low frequency (daily) data. We … start from the Kyle and Obizhaeva (2016) hypothesis of transaction cost invariance to identify a new volatility over volume … liquidity proxy “VoV(%Spread)” for percent spread cost and a new volatility over volume liquidity proxy “VoV(λ)” for the slope …