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

Efstathios Panayi; Gareth W. Peters; Ioannis Kosmidis

doi:10.1080/14697688.2015.1071075

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

Efstathios Panayi, Gareth W. Peters, Ioannis Kosmidis

Research output: Contribution to journal › Article › peer-review

Original language	English
Pages (from-to)	1737-1758
Journal	Quantitative Finance
Volume	15
Issue number	10
Early online date	16 Sept 2015
DOIs	https://doi.org/10.1080/14697688.2015.1071075
Publication status	Published - 2015

Access to Document

10.1080/14697688.2015.1071075

http://www.tandfonline.com/doi/full/10.1080/14697688.2015.1071075

Cite this

@article{ffcfed8d40e74c17accf2207a3369f40,

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

author = "Efstathios Panayi and Peters, {Gareth W.} and Ioannis Kosmidis",

year = "2015",

doi = "10.1080/14697688.2015.1071075",

language = "English",

volume = "15",

pages = "1737--1758",

journal = "Quantitative Finance",

issn = "1469-7688",

publisher = "Routledge",

number = "10",

}

TY - JOUR

T1 - Liquidity commonality does not imply liquidity resilience commonality: a functional characterisation for ultra-high frequency cross-sectional LOB data

AU - Panayi, Efstathios

AU - Peters, Gareth W.

AU - Kosmidis, Ioannis

PY - 2015

Y1 - 2015

U2 - 10.1080/14697688.2015.1071075

DO - 10.1080/14697688.2015.1071075

M3 - Article

SN - 1469-7688

VL - 15

SP - 1737

EP - 1758

JO - Quantitative Finance

JF - Quantitative Finance

IS - 10

ER -