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Market Liquidity as a Sentiment Indicator
Price Financial Liquidity Trade Valuation Markets Forecasting and Prediction Equity
2015/5/13
We build a model that helps to explain why increases in liquidity—such as lower bid–ask spreads, a lower price impact of trade, or higher turnover—predict lower subsequent returns in both firm-level a...
We propose a new indicator for technical analysis. The indicator emphasizes maximums and minimums in price series with inherent smoothing and has a potential to be useful in both mechanical trading ru...