This paper provides an exhaustive review and categorization of market liquidity measures that are used to quantify liquidity in empirical research. We review and discuss these measures in a comparative manner in terms of market, data features, computational ease, predictiveness, and potentiality. With a primary focus on high-frequency liquidity measurement, we highlight their advantages, limitations, and extensions. We conclude that high-frequency measures concentrate around bid–ask spread and limit order book, the latter offering a richer ground for analysis. Moreover, considering the recent developments in the industry such as market fragmentation, abundance of data, and improved technology, the practicality of these measures are challenged.

中文翻译：

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流动性测量：以高频为重点的文献比较回顾

本文对在实证研究中用于量化流动性的市场流动性指标进行了详尽的回顾和分类。我们在市场、数据特征、计算便利性、预测性和潜力方面以比较的方式审查和讨论这些措施。我们主要关注高频流动性测量，强调它们的优势、局限性和扩展性。我们得出结论，高频措施集中在买卖差价和限价订单簿上，后者为分析提供了更丰富的基础。此外，考虑到行业最近的发展，如市场分散、数据丰富和技术改进，这些措施的实用性受到了挑战。