Show simple item record

dc.contributor.authorMartínez Sedano, Miguel Ángel
dc.contributor.authorRubio Irigoyen, Gonzalo
dc.contributor.authorTapia, Mikel
dc.date.accessioned2012-02-06T14:51:39Z
dc.date.available2012-02-06T14:51:39Z
dc.date.issued2002-01
dc.identifier.issn1988-088X
dc.identifier.urihttp://hdl.handle.net/10810/6756
dc.description.abstractThis 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 a given number of shares. The cost of liquidity is an increasing function relating bid-ask spreads with the amounts available for trading. This measure completely characterizes the cost of liquidity of any given asset. It does not suffer from the usual ambiguities related to either the bid-ask spread or depth when they are considered separately. On the contrary, with a single measure, we are able to capture all dimensions of liquidity costs on ex-ante basis.es
dc.description.sponsorshipMiguel A. Martínez and Gonzalo Rubio on the one hand, and Mikel Tapia on the other, acknowledge the financial support provided by the Dirección General Interministerial Científica y Técnica (DGICYT) grants PB97-0621 and PB98-0030 respectively.es
dc.language.isoenges
dc.publisherUniversity of the Basque Country, Department of Foundations of Economic Analysis IIes
dc.relation.ispartofseriesDFAEII 2002.03
dc.rightsinfo:eu-repo/semantics/openAccesses
dc.rights.urihttp://creativecommons.org/licenses/by-nc-sa/3.0/*
dc.subjectliquidity functiones
dc.subjectliquidity costes
dc.subjectopen limit order bookes
dc.subjectbid ask spreades
dc.subjectdepthes
dc.titleUnderstanding the ex-ante cost of liquidity in the limit order book: A notees
dc.typeinfo:eu-repo/semantics/workingPaperes
dc.rights.holderAttribution-NonCommercial-ShareAlike 3.0 Unported*
dc.subject.jelG14
dc.identifier.repecRePEc:ehu:dfaeii:200203es
dc.departamentoesFundamentos del análisis económico IIes_ES
dc.departamentoeuEkonomia analisiaren oinarriak IIes_ES
dc.subject.categoriaECONOMICS, ECONOMETRICS AND FINANCE
dc.subject.categoriaFINANCIAL ECONOMICS


Files in this item

Thumbnail
Thumbnail

This item appears in the following Collection(s)

Show simple item record

Attribution-NonCommercial-ShareAlike 3.0 Unported
Except where otherwise noted, this item's license is described as Attribution-NonCommercial-ShareAlike 3.0 Unported