search query: @author Lange, J. / total: 3
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| Author: | Engle, R.F. Lange, J. |
| Title: | Predicting VNET: a model of the dynamics of market depth |
| Journal: | Journal of Financial Markets
2001 : APR, VOL. 4:2, p. 113-142 |
| Index terms: | ASYMMETRIC INFORMATION LIQUIDITY MARKET CONDITIONS |
| Freeterms: | MICROSTRUCTURE |
| Language: | eng |
| Abstract: | The paper proposes a new intraday measure of market liquidity, VNET, which directly measures the depth of the market corresponding to a particular price deterioration. VNET is constructed from the excess volume of buys or sells associated with a price movement. As this measure varies over time, it can be forecast and explained. |
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