4 papers
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 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 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…