Market Liquidity

[Mr Doe]

Can anyone recommend any papers on market liquidity? I'm looking for models with solid mathematical background. I tried searching arxiv but didn't found what I was looking.
Thanks in advance.

Anton

 

[alain]

what exactly are you looking for? providers of market liquidity? Order flow?

 

[Mr Doe]

Everything you got . I have to get as much info as possible in short time. So I'm looking for some classic papers, get known with common issues, maybe some models etc.
Sorry cause I'm being so vague, I haven't encountered modeling liqudity yet, and I don't know much about it (except some intuitive concepts).

Anton

 

[Uncle Max]

It's like asking to send everything he's got on Linear Algebra

Go to google advanced search, and look for "liquidity" with file type ".pdf". It should give you a good starting point.

 

[Pulco]

You can find a bunch of papers on liquidity here :

The Quantitative Finance Library

If you have some other interesting papers on this subject, do not hesitate to send them to me, and I will add them.

 

[Mr Doe]

Thanks guys for all the help. I found some book and papers that were of great benefit to me.
Another question directly related; do you know where I can find free tick data (it doesn't matter which market). I know it's a long-shot :D, but maybe someone is giving it away for free.

 

[alain]

If you find free tick data, let me know. I have found it is a "NO shot" to find free tick data.

 

[Andy Nguyen]

If you just want dummy data to test with, you can put your own millisecond time stamp on it. Tick data vendor makes sure you pay one way or another.
On another note, I think I saw someone posting a sample set of tick data for free. It's been a while I don't remember where I saw it.

 

[Mr Doe]

I found some samples. Here's the link:
tick data intraday samples futures forex stock index