Survival models for the duration of bid-ask spread deviations

Efstathios Panayi; Gareth Peters

doi:10.1109/CIFEr.2014.6924048

Survival models for the duration of bid-ask spread deviations

Efstathios Panayi^*, Gareth Peters

^*Corresponding author for this work

University College London

Research output: Chapter in Book/Report/Conference proceeding › Conference 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 language	English
Title of host publication	2014 IEEE Conference on Computational Intelligence for Financial Engineering & Economics (CIFEr)
Publisher	IEEE
Pages	9-16
Number of pages	8
ISBN (Electronic)	9781479923809
DOIs	https://doi.org/10.1109/CIFEr.2014.6924048
Publication status	Published - 16 Oct 2014
Event	2014 IEEE Conference on Computational Intelligence for Financial Engineering and Economics - London, United Kingdom Duration: 27 Mar 2014 → 28 Mar 2014

Conference

Conference	2014 IEEE Conference on Computational Intelligence for Financial Engineering and Economics
Abbreviated title	CIFEr 2014
Country/Territory	United Kingdom
City	London
Period	27/03/14 → 28/03/14

ASJC Scopus subject areas

Computer Science Applications
Artificial Intelligence
Software
Applied Mathematics
Finance

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10.1109/CIFEr.2014.6924048

Cite this

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title = "Survival models for the duration of bid-ask spread deviations",

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.",

author = "Efstathios Panayi and Gareth Peters",

year = "2014",

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day = "16",

doi = "10.1109/CIFEr.2014.6924048",

language = "English",

pages = "9--16",

booktitle = "2014 IEEE Conference on Computational Intelligence for Financial Engineering & Economics (CIFEr)",

publisher = "IEEE",

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note = "2014 IEEE Conference on Computational Intelligence for Financial Engineering and Economics, CIFEr 2014 ; Conference date: 27-03-2014 Through 28-03-2014",

}

Panayi, E & Peters, G 2014, Survival models for the duration of bid-ask spread deviations. in 2014 IEEE Conference on Computational Intelligence for Financial Engineering & Economics (CIFEr). IEEE, pp. 9-16, 2014 IEEE Conference on Computational Intelligence for Financial Engineering and Economics, London, United Kingdom, 27/03/14. https://doi.org/10.1109/CIFEr.2014.6924048

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AU - Peters, Gareth

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AB - 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.

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T2 - 2014 IEEE Conference on Computational Intelligence for Financial Engineering and Economics

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ER -

Survival models for the duration of bid-ask spread deviations

Abstract

Conference

ASJC Scopus subject areas

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