10 citations · 10 across the 6 of their papers we have counts for
4 papers · 1 filter
Designating market maker behaviour in Limit Order Book markets
Efstathios Panayi, Gareth W. Peters, Jon Danielsson +1
Financial exchanges provide incentives for limit order book (LOB) liquidity provision to certain market participants, termed designated market makers or designated sponsors. While…
Stochastic simulation framework for the Limit Order Book using liquidity motivated agents
Efstathios Panayi, Gareth Peters
In this paper we develop a new form of agent-based model for limit order books based on heterogeneous trading agents, whose motivations are liquidity driven. These agents are abstr…
Survival Models for the Duration of Bid-Ask Spread Deviations
Efstathios Panayi, Gareth Peters
Many commonly used liquidity measures are based on snapshots of the state of the limit order book (LOB) and can thus only provide information about instantaneous liquidity, and not…
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…