Będowska-Sójka Barbara, Echaust Krzysztof
Department of Econometrics, Poznań University of Economics and Business, al. Niepodległości 10, 61-875 Poznań, Poland.
Department of Operations Research, Poznań University of Economics and Business, al. Niepodległości 10, 61-875 Poznań, Poland.
Entropy (Basel). 2020 Jul 17;22(7):783. doi: 10.3390/e22070783.
This paper examines whether liquidity proxies based on different daily prices and quotes approximate latent liquidity. We compare percent-cost daily liquidity proxies with liquidity benchmarks as well as with realized variance estimates. Both benchmarks and volatility measures are obtained from high-frequency data. Our results show that liquidity proxies based on high-low-open-close prices are more correlated and display higher mutual information with volatility estimates than with liquidity benchmarks. The only percent-cost proxy that indicates higher dependency with liquidity benchmarks than with volatility estimates is the Closing Quoted Spread based on the last bid and ask quotes within a day. We consider different sampling frequencies for calculating realized variance and liquidity benchmarks, and find that our results are robust to it.
本文研究了基于不同日价格和报价的流动性代理指标是否能近似潜在流动性。我们将每日成本百分比流动性代理指标与流动性基准以及已实现方差估计值进行了比较。基准和波动率指标均从高频数据中获取。我们的结果表明，基于最高价-最低价-开盘价-收盘价的流动性代理指标与波动率估计值的相关性更高，且与流动性基准相比，显示出更高的互信息。唯一显示出与流动性基准的相关性高于与波动率估计值的相关性的成本百分比代理指标是基于一天内最后买入和卖出报价的收盘报价价差。我们考虑了计算已实现方差和流动性基准时的不同采样频率，发现我们的结果对此具有稳健性。
