Forecasting limit order book liquidity supply-demand curves with functional autoregressive dynamics
Ying Chen, Wee Song Chua and Wolfgang Karl Härdle
| Year of publication: |
2019
|
|---|---|
| Authors: | Chen, Ying ; Chua, Wee Song ; Härdle, Wolfgang |
| Subject: | Liquidity demand and supply curves | Liquidity forecasting | Order splitting strategy | Time series | Vector functional autoregression | Theorie | Theory | Prognoseverfahren | Forecasting model | Zeitreihenanalyse | Time series analysis | Liquidität | Liquidity | Wertpapierhandel | Securities trading | VAR-Modell | VAR model |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/14697688.2019.1622290 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012194799