2012/11/09 by Kenan Qiao, Qiao, Kenan
Decision Sciences · Economics, Econometrics and Finance · #Complex Systems and Time Series Analysis #FOS: Economics and business #Financial Markets and Investment Strategies #Stock Market Forecasting Methods #Trading and Market Microstructure (q-fin.TR) #q-fin.TR
paper · pdf · doi:10.48550/arxiv.1211.2078
arxiv created 2012/11/09 · openalex publication_date 2012/11/09 · arxiv updated 2012/11/12 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
Market liquidity plays a vital role in the field of market micro-structure, because it is the vigor of the financial market. This paper uses a variable called convexity to measure the potential liquidity provided by order-book. Based on the high-frequency data of each stock included in the SSE (Shanghai Stock Exchange) 50 Index for the year 2011, we report several statistical properties of convexity and analyze the association between convexity and some other important variables (bid/ask-depth, spread, volatility, return.)