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Liquidity Commonality Does Not Imply Liquidity Resilience Commonality: A Functional Characterisation for Ultra-High Frequency Cross-Sectional LOB Data

We present a large-scale study of commonality in liquidity and resilience across assets in an ultra high-frequency (millisecond-time stamped) Limit Order Book (LOB) dataset from a pan-European electronic equity trading facility. We first show that extant work in quantifying liquidity commonality thro...

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Bibliographic Details
Authors and Corporations: Panayi, Efstathios (Author), Peters, Gareth (Other), Kosmidis, Ioannis (Other)
Other Authors: Peters, Gareth , Kosmidis, Ioannis
Type of Resource: E-Book
Language: English
published:
[S.l.] SSRN [2017]
Source: Verbunddaten SWB
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