75 citations · 199 across the 21 of their papers we have counts for
3 papers · 1 filter
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…
Upside and Downside Risk Exposures of Currency Carry Trades via Tail Dependence
Matthew Ames, Gareth W. Peters, Guillaume Bagnarosa +1
Currency carry trade is the investment strategy that involves selling low interest rate currencies in order to purchase higher interest rate currencies, thus profiting from the int…
Model-based clustering using copulas with applications
Ioannis Kosmidis, Dimitris Karlis
The majority of model-based clustering techniques is based on multivariate Normal models and their variants. In this paper copulas are used for the construction of flexible familie…