Liquidity Commonality Does Not Imply Liquidity Resilience Commonality: A Functional Characterisation for Ultra-High Frequency Cross-Sectional LOB Data (2014)

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/10.2139/ssrn.2980467

Publication URI: http://dx.doi.org/10.2139/ssrn.2980467

Type: Journal Article/Review

Parent Publication: SSRN Electronic Journal