How to measure the liquidity of cryptocurrency markets?
研究了低频交易流动性指标能否准确描述加密货币市场的高频流动性，发现Corwin和Schultz（2012）以及Abdi和Ranaldo（2017）的估计量在描述时间序列变化上表现最佳，而Kyle和Obizhaeva（2016）及Amihud（2002）的指标在估计流动性水平上更优。
This paper investigates the efficacy of low-frequency transactions-based liquidity measures to describe actual (high-frequency) liquidity. We show that the Corwin and Schultz (2012) and Abdi and Ranaldo (2017) estimators outperform other measures in describing time-series variations, irrespective of the observation frequency, trading venue, high-frequency liquidity benchmark, and cryptocurrency. Both measures perform well during high and low return, volatility and volume periods. The Kyle and Obizhaeva (2016) estimator and the Amihud (2002) illiquidity ratio outperform when estimating liquidity levels. These two estimators also reliably identify liquidity differences between trading venues. Overall, the results suggest that there is not yet a universally bestmeasure but there are reasonably good low-frequency measures.