Gabrielsen, Alexandros; Marzo, Massimiliano; Zagaglia, Paolo - In: Journal of finance and investment analysis 1 (2012) 4, pp. 89-129
The liquidity of an asset in modern financial markets is a key and, yet, elusive concept. A market is often said to be … liquidity has, however, provided to be a difficult task. This paper provides a critical review of the frameworks currently … available for modelling and estimating the market liquidity of stocks. We discuss definitions of market liquidity that stress …
