Friederich, Tim; Kraus, Carolin; Zagst, Rudi - In: Journal of Financial Transformation 34 (2012), pp. 183-193
Illiquidity is a major issue in today’s risk management, yet there exists no straight-forward quantification of liquidity or illiquidity. We present eight possible measures of liquidity which are partially based on micro-structural market data and examine their evolution over time in the...