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

Please use this identifier to cite or link to this item: https://doi.org/10.1080/14697688.2019.1622290

DC Field	Value
dc.title	Forecasting limit order book liquidity supply?demand curves with functional autoregressive dynamics
dc.contributor.author	Ying Chen
dc.contributor.author	Wee Song Chua
dc.contributor.author	Wolfgang Karl Hardle
dc.date.accessioned	2019-09-12T01:20:33Z
dc.date.available	2019-09-12T01:20:33Z
dc.date.issued	2019-07-09
dc.identifier.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
dc.identifier.issn	1469-7688
dc.identifier.uri	https://scholarbank.nus.edu.sg/handle/10635/158391
dc.publisher	Taylor & Francis
dc.source	Taylor & Francis
dc.type	Article
dc.contributor.department	STATISTICS & APPLIED PROBABILITY
dc.description.doi	10.1080/14697688.2019.1622290
dc.description.sourcetitle	Quantitative Finance
dc.description.volume	19
dc.description.issue	9
dc.description.page	1473-1489
dc.published.state	Published
Appears in Collections:	Staff Publications Elements

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