Forecasting Limit Order Book Liquidity Supply-Demand Curves...

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Forecasting Limit Order Book Liquidity Supply-Demand Curves with Functional Autoregressive Dynamics

Chen, Ying, Chua, Wee Song
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Year:
2016
Language:
english
Journal:
SSRN Electronic Journal
DOI:
10.2139/ssrn.2818409
File:
PDF, 9.16 MB
english, 2016
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