easy · Market Microstructure mmf-core
Calculate the Amihud illiquidity ratio for a stock over a single day where the absolute return was 1% ($0.01) and the total dollar volume was $50 million.
What does a higher ratio generally signify?
- That the stock is a 'Tier 1' security.
- Lower liquidity and higher price impact.
- Higher liquidity and lower price impact.
- A high probability of informed trading (PIN).
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