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academic_illiq

Amihud 2002 illiquidity — |return| per dollar volume

Themes & universe

liquidityequity_usequity_cnequity_hk1d

Formula

\mathrm{zscore}_{x}\bigl(\mathrm{ts\_mean}(|r_t| / (\mathrm{close}_t \cdot \mathrm{volume}_t),\,21)\bigr)

Definition

id

academic_illiq

zoo

academic

module_path

src.factors.zoo.academic.illiq

decay_horizon

21

min_warmup_bars

22

requires_sector

False

columns_required

close, volume

Notes

Amihud (2002) ILLIQ. Daily |simple return| divided by dollar volume (close * volume), averaged over a trailing 21-day window, then cross-sectional z-score per date for long-short ranking. Top z-scores = least liquid names, which carry the illiquidity premium. Uses a 1-day return (one extra warmup bar over the 21-day average window).

Run it

pip install vibe-trading-ai
vibe-trading alpha show academic_illiq
vibe-trading alpha bench --zoo academic --universe csi300 --period 2020-2025