Мне кажется ликвидность должна выражаться не только в объемах в долларах, но и в количестве сделок, а также в объемах в акциях.
Unfortunately it is not so easy to test this statement. The problem is a methodological one: one should decide how to define the liquidity in a quantitative way. The authors of http://xxx.lanl.gov/abs/cond-mat/0207428 define it through the price impact of a single trade. I would prefer to define the liquidity through the deviation of distributions of returns at
short time intervals from a stable law. Perhaps your system also gives
some measure of liquidity in a phenomenological way.