Liquidity
High Volume
A trading-activity signal that compares recent volume to a stock's own longer-run baseline to capture abnormal attention and visibility shocks.
Liquidity
Amihud Illiquidity
A price-impact style liquidity signal that measures how much price movement accompanies a dollar of trading volume.
Liquidity
12-1 Amihud Illiquidity
Definition phase
Definition
Amihud illiquidity averages each stock's daily absolute return divided by daily dollar volume over a trailing formation window. Higher values indicate that relatively little trading is associated with larger price moves, which is interpreted as greater illiquidity and stronger price impact.
The economic intuition is that investors should require compensation to hold names whose prices are more sensitive to order flow and more expensive to trade in size.
Inside the finance research stack, the representative implementation sorts the Russell 1000 cross-section into quintiles and compares the most illiquid names against the least illiquid names in a market-neutral spread.
Related Signals
Nearby ideas in the library.
Liquidity
Volume Volatility
A liquidity-stability signal that studies how variable a stock's dollar trading volume is through time.