4 papers
Liquidity Jump, Liquidity Diffusion, and Crypto Wash Trading
Qi Deng, Zhong-Guo Zhou
We develop a new framework to detect wash trading in crypto assets through real-time liquidity fluctuation. We propose that short-term price jumps in crypto assets results from was…
Liquidity-adjusted Return and Volatility, and Autoregressive Models
Qi Deng, Zhong-guo Zhou
We construct liquidity-adjusted return and volatility using purposely designed liquidity metrics (liquidity jump and liquidity diffusion) that incorporate additional liquidity info…
Liquidity Jump, Liquidity Diffusion, and Treatment on Wash Trading of Crypto Assets
Qi Deng, Zhong-guo Zhou
We propose that the liquidity of an asset includes two components: liquidity jump and liquidity diffusion. We show that liquidity diffusion has a higher correlation with crypto was…
Liquidity Premium, Liquidity-Adjusted Return and Volatility, and Extreme Liquidity
Qi Deng, Zhong-guo Zhou
We establish innovative liquidity premium measures, and construct liquidity-adjusted return and volatility to model assets with extreme liquidity, represented by a portfolio of sel…