Forecasting limit order book liquidity supply–demand curves...

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Quantitative Finance 2019 / 07

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

Chen, Ying, Chua, Wee Song, Härdle, Wolfgang Karl
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Language:
english
Journal:
Quantitative Finance
DOI:
10.1080/14697688.2019.1622290
Date:
July, 2019
File:
PDF, 1.42 MB
english, 2019
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