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On the Computation of LOT Liquidity Measure

Wandi Zhao,Mingjin Wang

Economics letters（2015）

Cited 4|Views10
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Abstract
Based on an extensive simulation study and a real data analysis, we show that the widely used estimation method of LOT liquidity model, i.e. the Mixed MLE method, is not consistent and the Y-split method should be used instead.
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Key words
Liquidity,LOT model,Estimation,Simulation
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