Piotr Fryzlewicz

London School of Economics & Political Science (LSE) - Department of Statistics

Professor

Houghton Street

London, England WC2A 2AE

United Kingdom

SCHOLARLY PAPERS

1

DOWNLOADS

94

SSRN CITATIONS

1

CROSSREF CITATIONS

0

Scholarly Papers (1)

1.

Relative Liquidity and Future Volatility

Journal of Financial Markets, Forthcoming, FEDS Working Paper 2014-45
Number of pages: 37 Posted: 29 Jun 2014 Last Revised: 28 Feb 2015
Pontificia Universidad Católica de Chile, Board of Governors of the Federal Reserve System, London School of Economics & Political Science (LSE) - Department of Statistics and Vienna University of Technology
Downloads 94 (339,868)
Citation 1

Abstract:

Loading...

order-driven markets, limit order book distribution, volatility predictability, liquidity