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Liquidity and market incompleteness

โœ Scribed by Felipe Zurita


Publisher
Springer
Year
2007
Tongue
English
Weight
98 KB
Volume
4
Category
Article
ISSN
1614-2446

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A model that realistically defines market liquidity and depth is introduced. Liquidity is the expected rate of order execution in shares per minute. Depth is the average density of the limit order book in shares per dollar. Illiquid markets tend to exhibit longer execution delays and indirectly high