Вячеслав Арбузов » Публикация

Аннотация Abstract This paper presents an econometric approach to liquidity modeling. We consider transaction cost indices of market liquidity based on a full order book and then try to estimate relationships with observable market variables. The research is based on the detailed market data, which include order history and trades execution data, for Moscow Interbank Currency Exchange (MICEX) listed stocks in September, 2010.