Liquidity commonality does not imply liquidity resilience commonality: a functional characterisation for ultra-high frequency cross-sectional LOB data

DOI10.1080/14697688.2015.1071075zbMath1398.91542arXiv1406.5486MaRDI QIDQ4683065

Ioannis Kosmidis, Gareth W. Peters, Efstathios Panayi

Publication date: 19 September 2018

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1406.5486

zbMATH Keywords

liquidity; functional regression; resilience; limit order book; functional PCA

Mathematics Subject Classification ID

62P05: Applications of statistics to actuarial sciences and financial mathematics

91G10: Portfolio theory

Uses Software

• R
• ggplot2
• fastICA
• FastICA