以下为句子列表：
英文: With high frequency data and the market liquidity depth indicator VNET, the dynamic features and the determinative factors of market liquidity are studied, and the market microstructure theories are verified.
中文: 摘要使用超高频数据，并利用流动性深度指标，研究流动性的动态特征、影响因素以及检验市场微观结构理论，结果支持基于信息不对称下的市场微观结构理论。
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