Survival models for the duration of bid-ask spread deviations

Efstathios Panayi, Gareth Peters

Research output: Chapter in Book/Report/Conference proceedingConference contribution

Abstract

Many commonly used liquidity measures are based on snapshots of the state of the limit order book (LOB) and can thus only provide information about instantaneous liquidity, and not regarding the local liquidity regime. However, trading in the LOB is characterised by many intra-day liquidity shocks, where the LOB generally recovers after a short period of time. In this paper, we capture this dynamic aspect of liquidity using a survival regression framework, where the variable of interest is the duration of the deviations of the spread from a pre-specified level. We explore a large number of model structures using a branch-and-bound subset selection algorithm and illustrate the explanatory performance of our model.

Original languageEnglish
Title of host publication2014 IEEE Conference on Computational Intelligence for Financial Engineering & Economics (CIFEr)
PublisherIEEE
Pages9-16
Number of pages8
ISBN (Electronic)9781479923809
DOIs
Publication statusPublished - 16 Oct 2014
Event2014 IEEE Conference on Computational Intelligence for Financial Engineering and Economics - London, United Kingdom
Duration: 27 Mar 201428 Mar 2014

Conference

Conference2014 IEEE Conference on Computational Intelligence for Financial Engineering and Economics
Abbreviated titleCIFEr 2014
CountryUnited Kingdom
CityLondon
Period27/03/1428/03/14

ASJC Scopus subject areas

  • Computer Science Applications
  • Artificial Intelligence
  • Software
  • Applied Mathematics
  • Finance

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