Research

Working Papers

• Designing High-Frequency Market Liquidity Measures with Applications to Monetary Policy

  with Z. Merrick Li, Oliver Linton, Yunxiao Zhai. Supplements

  • Presented at (Bold text = presented by me): First Macau International Conference on Business Intelligence and Analytics, University of Macau, Macau (Dec 2024); The 19th International Symposium on Econometric Theory and Applications (SETA), University of Macau, Macau (June 2025); 17th SoFiE Conference, ESSEC, France (July 2025, awarded with PhD/Postdoc travel funding); 2025 Econometric Society World Congress, South Korea (August 2025); Workshop on Financial Econometric, University of Macau, Macau (Jan 2026)

  • Abstract: We propose a new family of liquidity measures-including order imbalance metrics-based on the dispersion and persistence of transitory gaps between transaction prices and the underlying efficient price. We devise an estimation method that renders these latent gaps observable, allowing plug-in estimates of the new measures from intraday trades alone, along with an inference method that allows us to quantify the sampling uncertainty in our estimates. We apply the approach to the S&P 500 equity portfolio, as well as to individual stocks. We use event study methodology to capture heterogeneous liquidity responses to FOMC announcements , which reveals distinct order-persistence patterns on surprise versus non-surprise days, highlighting how markets anticipate and react to monetary policy via the liquidity channel.