Liquidity is defined as the ability to sell a quantity of a
security without adversely changing the price in response to
your orders. Models for liquidity risk are not as common place
as models for market risk. One simple precautionary measure
that practitioners use to control liquidity risk is to measure
the size of their trades versus the average daily trading volume
of a security. A rule-of-thumb is to not own positions greater
than 1/10 to 1/3 of the average daily trading volume over some
specified time interval, for example, the last 30-days of trading.