Ultrahigh Frequency Data Liquidity Duration Estimation: A Case Study of Chinese A Shares

Table 1

Typical liquidity estimating indexes.

Estimating method	Estimating indexes
	Spread
Pricing	Pricing effective spread
	Relative effective spread
	Market depth
Amounting	Amounting transaction depth
	Turnover
	Execution time
Timing	Transaction frequency
	Elasticity
Amount-price compounding	Price impact model	Kyle model EL model
	Liquid ratio	Amivest liquidity ratio Martin index