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Endogenous Dynamics of Intraday Liquidity

Mikołaj Bińkowski and Charles-Albert Lehalle
The Journal of Portfolio Management Market Microstructure 2022, jpm.2022.1.380; DOI: https://doi.org/10.3905/jpm.2022.1.380
Mikołaj Bińkowski
carried this research as a PhD candidate at Imperial College London, UK
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Charles-Albert Lehalle
is a visiting researcher at Imperial College London in London, UK. He is now a global head of quantitative R&D at the Abu Dhabi Investment Authority, ADIA, in Abu Dhabi, UAE
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Abstract

This article investigates the endogenous information contained in four liquidity variables at a five-minute time scale on equity markets around the world: the traded volume, the bid–ask spread, the volatility, and the volume at first limits of the order book. In the spirit of Granger causality, the authors measure the level of information. It covers 300 stocks from four different markets (United States, United Kingdom, Japan, and Hong Kong) from a period of over five years. It appears that, from the viewpoint of these variables, the natural memory of the endogenous dynamics of liquidity spans from half an hour to a few hours, depending on some characteristics of the considered stock. Moreover, new stylized facts emerge from the vectorial linear autoregressive models on deseasonalized versions of the logarithm of these variables at a time scale that is of paramount importance for optimal trading and optimal liquidation strategies, including index rebalancing, and for transaction cost analysis.

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The Journal of Portfolio Management: 48 (5)
The Journal of Portfolio Management
Vol. 48, Issue 5
April 2022
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Endogenous Dynamics of Intraday Liquidity
Mikołaj Bińkowski, Charles-Albert Lehalle
The Journal of Portfolio Management Jun 2022, jpm.2022.1.380; DOI: 10.3905/jpm.2022.1.380

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Endogenous Dynamics of Intraday Liquidity
Mikołaj Bińkowski, Charles-Albert Lehalle
The Journal of Portfolio Management Jun 2022, jpm.2022.1.380; DOI: 10.3905/jpm.2022.1.380
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  • Article
    • Abstract
    • METHODOLOGY AND DATABASE
    • STYLIZED FACTS AND BENCHMARK RESULTS
    • IDENTIFIED EFFECTS: NEW STYLIZED FACTS ON LIQUIDITY
    • CONCLUSION
    • ENDNOTES
    • REFERENCES
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