Liquidity Measurement Problems in Fast, Competitive Markets: Expensive and Cheap Solutions
By Craig W. Holden, Stacey Jacobsen. 2013
343 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance, Management Science and Operations Research
View Paper: https://www.semanticscholar.org/paper/e7f6c49d9ef9bb3fb2c7475c8a7e89e311ec87ed
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Economics and Econometrics
- Andriy Shkilko
- Konstantin Sokolov
- Jonathan Brogaard
- Christina Zhu
- Sunil Wahal
- Jennifer S. Conrad
- Craig W. Holden
- Ryan Riordan
In Finance
- Andriy Shkilko
- Konstantin Sokolov
- Christina Zhu
- Stacey Jacobsen
- Jonathan Brogaard
- Elizabeth Blankespoor
- Sunil Wahal
- Craig W. Holden
In Management Science and Operations Research
- Andriy Shkilko
- Konstantin Sokolov
- Christina Zhu
- Avanidhar Subrahmanyam
- Sunil Wahal
- Jin Xiang
- Jennifer S. Conrad
- Elizabeth Blankespoor
Citations in the corpus
- Institutional Investor Attention and Firm Disclosure (2020, positive): “Both the depth and the spread are time-weighted during trading hours for each day according to the procedure described in Holden and Jacobsen (2014).”
- Capital market effects of media synthesis and dissemination: evidence from robo-journalism (2017, positive): “Following Holden and Jacobsen (2014), the weighted average depth for each day is the average total dollar amount available at the best bid or ask quote, weighted by the time each quote is in force.”
- Every Cloud Has a Silver Lining: Fast Trading, Microwave Connectivity, and Trading Costs (2020, positive): “Following Holden and Jacobsen (2014), we combine the DTAQ NBBO and Quote files to obtain the complete NBBO record and merge the resulting dataset with the Trade file.”
- High Frequency Quoting, Trading, and the Efficiency of Prices (2015, methodology): “For some tests that include data from 2009, we use the approach 13 advocated by Holden and Jacobsen (2014).”
- The Empirical Analysis of Liquidity (2014, methodology): “Holden and Jacobsen [2014] show that standard liquidity measures based on the NBBO as computed from DTAQ are enormously different than the same measures based on the NBBO as computed from MTAQ.”
- High-Frequency Trading and Extreme Price Movements (2018, positive): “We obtain the midquotes from the NYSE Trade and Quote database (TAQ) after adjusting the data according to Holden and Jacobsen’s (2014) recommendations.”
- High frequency market microstructure. (2015, neutral): “Holden and Jacobsen [2013] provide disturbing evidence that using MTAQ”