Please use this identifier to cite or link to this item:
https://doi.org/10.1080/14697688.2019.1622290
| Title: | Forecasting limit order book liquidity supply?demand curves with functional autoregressive dynamics | Authors: | Ying Chen Wee Song Chua Wolfgang Karl Hardle |
Issue Date: | 9-Jul-2019 | Publisher: | Taylor & Francis | Citation: | Ying Chen, Wee Song Chua, Wolfgang Karl Hardle (2019-07-09). Forecasting limit order book liquidity supply?demand curves with functional autoregressive dynamics. Quantitative Finance 19 (9) : 1473-1489. ScholarBank@NUS Repository. https://doi.org/10.1080/14697688.2019.1622290 | Source Title: | Quantitative Finance | URI: | https://scholarbank.nus.edu.sg/handle/10635/158391 | ISSN: | 1469-7688 | DOI: | 10.1080/14697688.2019.1622290 |
| Appears in Collections: | Staff Publications Elements |
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| 10.108014697688.2019.1622290.zip | 2.39 MB | ZIP | OPEN | Pre-print | View/Download |
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