Microstructure#83tier 1live in productionNew
amihud illiquidity
cadence: Dailydata: lowlong onlylong short
paper
2002
Source
#83 amihud_illiquidity — Amihud 2002 JFM "Illiquidity and stock returns".
Read the paper →
Mechanism
Amihud illiquidity = |daily_return| / dollar_volume (×1e6). High ILLIQ → larger price impact per dollar traded → liquidity-risk premium. 20-day rolling Amihud measure ranks tickers; long top-decile illiquid (premium for bearing illiquidity), short bottom-decile.
Signal rule
ILLIQ_20d = mean(|r_t| / dollar_vol_t × 1e6) over trailing 20 days; deciles cross-sectionally.
Data dependencies
daily_pricesAdjusted-close OHLCV for every US-listed ticker; primary price feed.
Expected edge
~2-5% annualized, varies with regime. Stronger in small-cap and high-vol regimes.
Illustrative pattern only
NOT a backtestIllustrative pattern only — see /app for live backtests and the actual current equity curve.
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