Liquidity commonality does not imply liquidity resilience commonality: a functional characterisation for ultra-high frequency cross-sectional LOB data (Q4683065)
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scientific article; zbMATH DE number 6939271
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Liquidity commonality does not imply liquidity resilience commonality: a functional characterisation for ultra-high frequency cross-sectional LOB data |
scientific article; zbMATH DE number 6939271 |
Statements
Liquidity commonality does not imply liquidity resilience commonality: a functional characterisation for ultra-high frequency cross-sectional LOB data (English)
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19 September 2018
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limit order book
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liquidity
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resilience
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functional PCA
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functional regression
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