Liquidity commonality does not imply liquidity resilience commonality: a functional characterisation for ultra-high frequency cross-sectional LOB data (Q4683065)
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scientific article; zbMATH DE number 6939271
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| English | Liquidity commonality does not imply liquidity resilience commonality: a functional characterisation for ultra-high frequency cross-sectional LOB data |
scientific article; zbMATH DE number 6939271 |
Statements
Liquidity commonality does not imply liquidity resilience commonality: a functional characterisation for ultra-high frequency cross-sectional LOB data (English)
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19 September 2018
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limit order book
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liquidity
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resilience
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functional PCA
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functional regression
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0.7740129232406616
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0.7204276919364929
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0.7144640684127808
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0.7127053737640381
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