Determining Equity Portfolio Liquidation Value Based on High-Frequency Trading Data: Evidence from Russia

Student: Gogin Artem

Educational Programme: Financial Markets and Financial Institutions (Master)

Year of Graduation: 2019

The aim of this study is acquiring a rating of liquidity of Russian companies' stocks, measure by transactiona; costs due to the liquidation of the assets. In order to achieve the purpose several tasks will be solved: Selection of an appropriate model of optimal portfolio execution which would address market microstructure but will be appliable for liquidity measurement. Determination of main differences between trends diclosed by the worked out method of liquidity measurement and the basic metrics. Concistence of implementation of the method will be tested for several dates and varying positon sizes for liquidation.

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