Liquidity commonality does not imply liquidity resilience commonality: A functional characterisation for ultra-high frequency cross-sectional LOB data (2014)
Attributed to:
Systemic Risk Centre
funded by
ESRC
Abstract
No abstract provided
Bibliographic Information
Digital Object Identifier: http://dx.doi.org/10.48550/arxiv.1406.5486
Publication URI: https://arxiv.org/abs/1406.5486
Type: Preprint