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20092023
most citedBias in parametric estimation: reduction and useful side-effects

75 citations · 199 across the 21 of their papers we have counts for

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q-fin.ST2014

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

Efstathios Panayi, Gareth Peters, Ioannis Kosmidis

We present a large-scale study of commonality in liquidity and resilience across assets in an ultra high-frequency (millisecond-timestamped) Limit Order Book (LOB) dataset from a p…