Commodity Liquidity Measurement and Transaction Costs
研究了多种流动性代理指标在商品市场中的表现，发现Amihud指标与流动性基准相关性最高，并分析了交易成本随波动率上升和均值回归的特性，对缺乏高频数据的研究者有用。
We examine the performance of liquidity proxies in commodities. The Amihud measure has the largest correlation with liquidity benchmarks. Amivest and Effective Tick measures also perform well. These proxies are useful for studies of commodity liquidity over a long time period and those that lack access to high-frequency data. We use various aspects of transaction costs, such as spread, depth, immediacy, and resiliency, to give insight into the costs of different execution approaches. Transaction costs increase with volatility and exhibit mean reversion. Splitting trades over one hour can reduce trading costs by two-thirds compared to an immediate execution.