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Article

A Practical Approach to Liquidity Calculation

Oleh Danyliv, Bruce Bland and Daniel Nicholass
The Journal of Trading Summer 2014, 9 (3) 57-65; DOI: https://doi.org/10.3905/jot.2014.9.3.057
Oleh Danyliv
is a quantitative algorithm developer at Fidessa Group PLC in London, U.K.
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  • For correspondence: oleh.danyliv@fidessa.com
Bruce Bland
is head of innovation development at Fidessa Group PLC in London, U.K.
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  • For correspondence: bruce.bland@fidessa.com
Daniel Nicholass
is a quantitative consultant at Fidessa Group PLC in London, U.K.
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  • For correspondence: daniel.nicholass@fidessa.com
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Abstract

In this article, the authors propose a new measure for liquidity that allows the user to estimate the liquidity of different instruments, regardless of exchange or the currency in which they are traded. The measure can be estimated from the order book data or by using historic measurement over the day. These two forms of the metric have proved to be well correlated with each other and allow for real-time monitoring of markets or historical calculation of liquidity. A simple liquidity algebra is considered to calculate the liquidity for portfolios of both stock and exchange-traded fund instruments.

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The Journal of Trading: 9 (3)
The Journal of Trading
Vol. 9, Issue 3
Summer 2014
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A Practical Approach to Liquidity Calculation
Oleh Danyliv, Bruce Bland, Daniel Nicholass
The Journal of Trading Jun 2014, 9 (3) 57-65; DOI: 10.3905/jot.2014.9.3.057

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A Practical Approach to Liquidity Calculation
Oleh Danyliv, Bruce Bland, Daniel Nicholass
The Journal of Trading Jun 2014, 9 (3) 57-65; DOI: 10.3905/jot.2014.9.3.057
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  • Article
    • Abstract
    • THE DEFINITION OF LIX
    • THE INTRADAY LIQUIDITY MEASURE AND LIQUIDITY TIME SCALING
    • INSTANTANEOUS LIQUIDITY MEASURE
    • LIQUIDITY OF A BASKET
    • LIQUIDITY OF AN ETF
    • CONCLUSIONS
    • ENDNOTE
    • REFERENCES
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