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

DOI10.1080/14697688.2019.1622290zbMath1420.91409OpenAlexW2521868714WikidataQ127545996 ScholiaQ127545996MaRDI QIDQ5234371

Wee Song Chua, Ying Chen, Wolfgang Karl Härdle

Publication date: 26 September 2019

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2019.1622290

zbMATH Keywords

time seriesvector functional autoregressionliquidity demand and supply curvesliquidity forecastingorder splitting strategy

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)

Related Items (1)

Stock market trend prediction using a functional time series approach

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