Liquidity commonality does not imply liquidity resilience commonality: a functional characterisation for ultra-high frequency cross-sectional LOB data (2015)

First Author: Panayi E

Attributed to: Systemic Risk Centre funded by ESRC

Abstract

No abstract provided

Bibliographic Information

Digital Object Identifier: http://dx.doi.org/10.1080/14697688.2015.1071075

Publication URI: http://dx.doi.org/10.1080/14697688.2015.1071075

Type: Journal Article/Review

Parent Publication: Quantitative Finance

Issue: 10