Professor Yakov Amihud's "Illiquidity Ratio" is referenced
— February 19, 2016
Excerpt from Bloomberg -- "There are different ways of measuring liquidity (or illiquidity). The most obvious is to calculate the change in price per unit of trade volume. These estimates come in a variety of flavors. The best known, perhaps, is the Illiquidity Ratio, or ILR, devised by Yakov Amihud, a professor at NYU’s Stern School of Business."