Forecasting limit order book liquidity supply?demand curves with functional autoregressive dynamics

10.1080/14697688.2019.1622290

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Bibliographic Details
Main Authors:	Ying Chen, Wee Song Chua, Wolfgang Karl Hardle
Other Authors:	STATISTICS & APPLIED PROBABILITY
Format:	Article
Published:	Taylor & Francis 2019
Online Access:	https://scholarbank.nus.edu.sg/handle/10635/158391
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Institution:	National University of Singapore

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spelling	sg-nus-scholar.10635-1583912024-04-03T05:47:19Z Forecasting limit order book liquidity supply?demand curves with functional autoregressive dynamics Ying Chen Wee Song Chua Wolfgang Karl Hardle STATISTICS & APPLIED PROBABILITY 10.1080/14697688.2019.1622290 Quantitative Finance 19 9 1473-1489 2019-09-12T01:20:33Z 2019-09-12T01:20:33Z 2019-07-09 Article Ying Chen, Wee Song Chua, Wolfgang Karl Hardle (2019-07-09). Forecasting limit order book liquidity supply?demand curves with functional autoregressive dynamics. Quantitative Finance 19 (9) : 1473-1489. ScholarBank@NUS Repository. https://doi.org/10.1080/14697688.2019.1622290 1469-7688 https://scholarbank.nus.edu.sg/handle/10635/158391 Taylor & Francis Taylor & Francis
institution	National University of Singapore
building	NUS Library
continent	Asia
country	Singapore Singapore
content_provider	NUS Library
collection	ScholarBank@NUS
description	10.1080/14697688.2019.1622290
author2	STATISTICS & APPLIED PROBABILITY
author_facet	STATISTICS & APPLIED PROBABILITY Ying Chen Wee Song Chua Wolfgang Karl Hardle
format	Article
author	Ying Chen Wee Song Chua Wolfgang Karl Hardle
spellingShingle	Ying Chen Wee Song Chua Wolfgang Karl Hardle Forecasting limit order book liquidity supply?demand curves with functional autoregressive dynamics
author_sort	Ying Chen
title	Forecasting limit order book liquidity supply?demand curves with functional autoregressive dynamics
title_short	Forecasting limit order book liquidity supply?demand curves with functional autoregressive dynamics
title_full	Forecasting limit order book liquidity supply?demand curves with functional autoregressive dynamics
title_fullStr	Forecasting limit order book liquidity supply?demand curves with functional autoregressive dynamics
title_full_unstemmed	Forecasting limit order book liquidity supply?demand curves with functional autoregressive dynamics
title_sort	forecasting limit order book liquidity supply?demand curves with functional autoregressive dynamics
publisher	Taylor & Francis
publishDate	2019
url	https://scholarbank.nus.edu.sg/handle/10635/158391
_version_	1795374027417583616

Forecasting limit order book liquidity supply?demand curves with functional autoregressive dynamics

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