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 journalArticle

3 Citations (Scopus)
Original languageEnglish
Pages (from-to)1737-1758
JournalQuantitative Finance
Volume15
Issue number10
Early online date16 Sep 2015
DOIs
Publication statusPublished - 2015

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