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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.ST2024
Liquidity Adjustment in Multivariate Volatility Modeling: Evidence from Portfolios of Cryptocurrencies and US Stocks
Qi Deng
We develop a liquidity-sensitive multivariate volatility framework to improve the estimation of time-varying covariance structures under market frictions. We introduce two novel po…
q-fin.ST2024
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…