NO.PZ2020042003000005
问题如下：
Which of the following statement is not
correct?
选项：
A.
We can use the difference between the bid and
ask prices as a cost of liquidity.
B.
When we measure the market liquidity, tightness
refers to the cost of a round-trip transaction, and is typically measured by
the bid-ask spread and brokers’ commissions.
C.
When we measure the market liquidity, depth
describes the length of time for which a lumpy order moves the market away from
the equilibrium price.
D.
If the bid-ask spread were a constant, then going long at the offer and short at the bid would be a predictable cost of doing the trade.解释：
考点：对Transaction liquidity risk measurement的理解
答案： C选项表述错误，因此本题选C。
解析：
C选项表述错误，Depth正确的表述为: Depth describes how large an order it takes to move the market
adversely.
C选项描述的情景属于Resiliency:
resiliency is the length of time for which a lumpy order moves the market away
from the equilibrium price.
cost of liq 不是需要1/2•spread吗
