Gareth Peters

Prof. Dr. Gareth W. Peters (FIOR)
Chair Prof. in Statistics for Risk and Insurance
Department of Actuarial Mathematics and Statistics, Heriot-Watt, Edinburgh
Academic Director Scottish Financial Risk Academy

Publications

Discussion Papers
Apr 2018
DP 78
We propose a method to capture the notion of resilience, the dynamic aspect of liquidity in the limit order book, through the Threshold Exceedance Duration (TED) metric that we introduce. This measures the duration of liquidity ‘droughts.’ We...