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

DOI10.1080/14697688.2015.1071075zbMath1398.91542arXiv1406.5486OpenAlexW1698497720MaRDI QIDQ4683065

Efstathios Panayi, Gareth W. Peters, Ioannis Kosmidis

Publication date: 19 September 2018

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1406.5486

zbMATH Keywords

liquidityfunctional regressionresiliencelimit order bookfunctional PCA

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)

Uses Software

• R
• ggplot2
• fastICA
• FastICA

Cites Work

• Unnamed Item
• Robust probabilistic PCA with missing data and contribution analysis for outlier detection
• Smoothing noisy data with spline functions: Estimating the correct degree of smoothing by the method of generalized cross-validation
• Robust principal component analysis?
• Continuous Auctions and Insider Trading
• CALCULATION OF THE SMOOTHING SPLINE WITH WEIGHTED ROUGHNESS MEASURE

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