Before revision:  The first step is  to identify abnormal trades by approximating the market liquidity using different statistical regression methods: OLS, two-step LASSO and Elastic Net  .
After revision:  The first step is to identify abnormal trades by approximating the market liquidity using different statistical regression methods: OLS, two-step LASSO and Elastic Net , are adopted to identify key features for the bid-ask spread of corporate bonds .