2 papers
q-fin.ST2025
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…
q-fin.RM2024
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…