Forecasting limit order book liquidity supply–demand curves with functional autoregressive dynamics
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DOI: 10.1080/14697688.2019.1622290
Abstract: We develop a dynamic model to simultaneously characterize the liquidity demand and supply in a limit order book. The joint dynamics are modeled in a unified Vector Functional AutoRegressive (VFAR) framework. We derive a closed-form… read more here.
Keywords: limit order; liquidity; order; order book ... See more keywords