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...

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Bibliographic Details
Main Authors: Joanna Olbryś, Michał Mursztyn
Format: Article
Language:English
Published: Wrocław University of Science and Technology 2017-01-01
Series:Operations Research and Decisions
Online Access:http://orduser.pwr.wroc.pl/DownloadFile.aspx?aid=1316