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Dynamics in Systematic Liquidity. (2009). Nilsson, Birger ; Hagströmer, Björn ; Anderson, Richard ; Binner, Jane ; Hagstromer, Bjorn .
In: Working Papers.
RePEc:hhs:lunewp:2009_007.

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  1. 15The specific rule for exclusion is the following (see Brownlees and Gallo (2006), p.2237): (~pj - yi~(k)~) > 3s~(k) + -y, where yi~(k) is the 6-trimmed mean price, and s~(k) is the standard deviation in the neighbourhood of k observations. A granularity parameter-y is added to deal with the cases where there is no price variability in the neighbourhood. Of all trades in our sample, 0.08% were affected by this filter. Brownlees and Gallo suggest that k should be chosen in accordance with the trading activity in the stock. They choose k = 60 for their sample, which corresponds to a trading intensity of 270*k per day. We use this factor (270) to calculate k for each day for each stock, setting 10 as a minimum value for k. For days with less than k observations, all observations are used. The granularity coefficient should be chosen as a multiple of the minimum price variation (MPV). Brownlees and Gallo choose = 0.02, which is a multiple of 2 of decimal (MPV) used in their sample.
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  8. As MPV decreases substantially over the years of our dataset, we calculate MPV for each stock in each month based on the first 1000 non-aggregated trades. 6 is set to 10%. arbitrary choice based on our overview of the data set no guidance on this have been found in the literature. To measure effective spread, we need to approximate what the bid-ask spread was just before the trade was executed. Most of the liquidity literature has used the findings of Lee and Ready (1991) as guidance on how to match trades and quotes for this approximation. Their recommendation is to use the latest quote recorded at least five seconds before the trade. This is based on the delay in trade reporting prevailing at the exchanges almost 20 years ago when trades were still reported manually. According to Henker and Wang (2006) the reporting process underwent automatization during the period 1994-2001 leading to much shorter reporting time.
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