On the computation of LOT liquidity measure

- We evaluate the estimation methods for the LOT-model through a simulation study.
- The Mixed method will overestimate the true spread severely and is not consistent.
- We suggest to use the Y-split estimation method instead in practice.

Based on an extensive simulation study and a real data analysis, we show that the widely used estimation method of LOT liquidity model, i.e. the Mixed MLE method, is not consistent and the Y-split method should be used instead.