hard · Market Microstructure
An Amihud illiquidity ratio is calculated over 2 days. Day 1: Absolute return |r| = 0.01, Dollar Volume V =50M. Day 2:|r| = 0.02,V = 20M. What is the average ILLIQ ratio in units of 10^-9?
- 0.3
- 0.6
- 0.43
- 1.2
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