structure of price interdependencies across stocks. For correct empirical network determination of such dynamic liquidity price … bootstrap procedure. We document the importance of LOB liquidity network spillovers even for a small blue-chip NASDAQ portfolio. …

In the context of an equilibrium model with multiple risky assets, we map the characteristics of the network connecting … firms' fundamentals to the cross-section of expected returns. We interpret network connectivity as the ability to transfer a … the model to the data and estimate the network structure. In accordance with theoretical predictions, we find evidence of …