Liquidity measurement: A comparative review of the literature with a focus on high frequency
全面回顾并分类了实证研究中用于量化市场流动性的各种度量方法，从市场、数据特征、计算简便性、预测能力和潜力等方面进行比较，重点分析高频流动性度量的优缺点及扩展。
Abstract This paper provides an exhaustive review and categorization of market liquidity measures that are used to quantify liquidity in empirical research. We review and discuss these measures in a comparative manner in terms of market, data features, computational ease, predictiveness, and potentiality. With a primary focus on high‐frequency liquidity measurement, we highlight their advantages, limitations, and extensions. We conclude that high‐frequency measures concentrate around bid–ask spread and limit order book, the latter offering a richer ground for analysis. Moreover, considering the recent developments in the industry such as market fragmentation, abundance of data, and improved technology, the practicality of these measures are challenged.