Liquidity fluctuations and the latent dynamics of price impact

DOI10.1080/14697688.2021.1947511zbMath1484.91460OpenAlexW3184496949MaRDI QIDQ5068077

Giulia Livieri, Alberto Ciacci, Luca Philippe Mertens, Fabrizio Lillo

Publication date: 5 April 2022

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

Full work available at URL: https://doi.org/10.1080/14697688.2021.1947511

zbMATH Keywords

Kalman filterliquidityprice impactorder flow imbalance

Mathematics Subject Classification ID

Financial markets (91G15)

Related Items (1)

Deep order flow imbalance: Extracting alpha at multiple horizons from the limit order book

Cites Work

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