2016-08-04Buch
Forecasting Limit Order Book Liquidity Supply Demand Curves with Functional AutoRegressive Dynamics
Chen, Ying; Chua, Wee Song; Härdle, Wolfgang Karl
Limit order book contains comprehensive information of liquidity on bid and ask sides. We propose a Vector Functional AutoRegressive (VFAR) model to describe the dynamics of the limit order book and demand curves and utilize ...
