Measurement of Stock Market Liquidity Supported By an Algorithm Inferring the Initiator of a Trade
The aim of this study is to assess and analyse selected liquidity/illiquidity measures derived from high-frequency intraday data from the Warsaw Stock Exchange (WSE). As the side initiating a trade cannot be directly identified from a raw data set, firstly the Lee-Ready algorithm for inferring the i...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Wrocław University of Science and Technology
2017-01-01
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| Series: | Operations Research and Decisions |
| Online Access: | http://orduser.pwr.wroc.pl/DownloadFile.aspx?aid=1316 |