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

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10.1080/14697688.2015.1071075

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

Cite this

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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",

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journal = "Quantitative Finance",

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publisher = "Taylor \& Francis",

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AU - Kosmidis, Ioannis

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