Chao Shi

Shanghai University of Finance and Economics - School of Information Management and Engineering

No. 100 Wudong Road

Shanghai, Shanghai 200433

China

  • Shanghai University of Finance and Economics - School of Information Management and Engineering

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Estimating Market Liquidity from Daily Data: Marrying Microstructure Models and Machine Learning

Number of pages: 57 Posted: 03 Mar 2023 Last Revised: 28 Nov 2024
Yuehao Dai, Chao Shi and Ruixun Zhang
Peking University, Shanghai University of Finance and Economics - School of Information Management and Engineering and Peking University
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Abstract:

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Liquidity; Bid-ask spread; Microstructure; Machine learning; Interpretability