## Abstract

This chapter starts with a definition of the term *liquidity* and its description as a multidimensional concept. Only the most frequently implemented liquidity measures are presented and categorized according to their dimensionality (one- or multi-dimensional) and their calculation base (order book data or transaction data). The result of this chapter is the choice of a multi-dimensional liquidity measure implemented in the empirical part of this study.

## Keywords

Limit Order Order Book Limit Price Market Impact Liquidity Measure
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## References

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- 106.For the case where the components of the market impact do not need to be calculated separately, Gomber/ Schweickert/ Theissen (2005), p. 7 have provided the following reduced formula that implements the quantity weighted average execution price \( \overline P \) B,t(V) and \( \overline P \) B,t(V) and the midpoint MP
_{t}:\( \left( V \right) = 10,000\frac{{\overline P _B ,t\left( V \right) - MP_t }} {{MP_t }} \) Google Scholar - 109.See Coppejans/ Domowitz/ Madhavan (2004), p. 9f., Domowitz (2001), p. 142, or Griese/Kempf (2006), p. 403.Google Scholar
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