Browsing DFAEII by Author "Tapia, Mikel"
Now showing items 1-1 of 1
-
Understanding the ex-ante cost of liquidity in the limit order book: A note
Martínez Sedano, Miguel Ángel ; Rubio Irigoyen, Gonzalo; Tapia, Mikel (University of the Basque Country, Department of Foundations of Economic Analysis II, 2002-01)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 ...