What is the best single, overall proxy measure for liquidity in financial markets? If markets started to freeze, you'd see it there? Or, conversely, you could tell from the measure that markets were starting to freeze.
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Rationale for my answer: it’s one hair’s breadth north of US government credit, which we all accept as a Schelling point for “the risk-free asset, to the extent any exists in the world”, and so the value of it is *almost* perfectly knowable at any time.
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The spread there is thus not a payment for risk, or a disagreement between longs and shorts over the instantaneous value. It’s almost purely a measurement of the price of liquidity.
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Let me clarify the question: if you wanted to do the simplest possible thing, one measure, widely known & understood, an easily poll-able public data source - a simple GET request, preferably with JSON data coming back - what would you pick?
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Darn it I thought this was a PM question not an engineering question. Sorry, don’t have a URL for you.
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