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

@article{Panayi2014LiquidityCD,
  title={Liquidity commonality does not imply liquidity resilience commonality: a functional characterisation for ultra-high frequency cross-sectional LOB data},
  author={Efstathios Panayi and Gareth W. Peters and Ioannis Kosmidis},
  journal={Quantitative Finance},
  year={2014},
  volume={15},
  pages={1737 - 1758}
}
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) data-set from a pan-European electronic equity trading facility. We first show that extant work in quantifying liquidity commonality through the degree of explanatory power of the dominant modes of variation of liquidity (extracted through Principal Component Analysis) fails to account for heavy-tailed features in the data, thus… 
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