Liquidity
Amihud Illiquidity
A price-impact style liquidity signal that measures how much price movement accompanies a dollar of trading volume.
Liquidity
Volume Volatility
A liquidity-stability signal that studies how variable a stock's dollar trading volume is through time.
Liquidity
12-Month Volume Volatility
Definition phase
Definition
Volume volatility computes the coefficient of variation of a stock's dollar trading volume over a resolved lookback window. Lower values indicate more stable trading activity, while higher values indicate noisier and more heterogeneous trading demand.
The signal treats instability in trading activity as a proxy for instability in the stock's trading clientele and liquidity demand. More stable trading activity can be interpreted as a liquidity-quality characteristic rather than a pure volume-level effect.
Inside the finance research stack, the representative implementation sorts the Russell 1000 cross-section on volume volatility and compares the low-volatility names against the high-volatility names in a market-neutral spread.
Related Signals
Nearby ideas in the library.
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.