medium · Market Microstructure
An Amihud illiquidity ratio is calculated over 3 days. Day 1: |r| = 1%, V =50M. Day 2: |r| = 0.5%, V =100M. Day 3: |r| = 2%, V =20M. What is the average ILLIQ (scaled by 10^6)?
- 0.417
- 0.012
- 0.350
- 1.250
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