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Chua, Wee Song
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Forecasting Limit Order Book Liquidity Supply-Demand Curves with Functional Autoregressive Dynamics
Chen, Ying
-
2017
VFAR model presents strong interpretability and accurate out-of-sample
forecast
. In application to limit order book records … in-sample estimation and 98.2 percent in out-of-sample
forecast
experiments. It produces accurate 5-, 25- and 50-$minute …
Persistent link: https://www.econbiz.de/10012968564
Saved in:
2
Forecasting limit order book liquidity supply-demand curves with functional AutoRegressive dynamics
Chen, Ying
;
Chua, Wee Song
;
Härdle, Wolfgang
-
2016
-of-sample
forecast
experiments. It produces accurate 5-, 25- and 50- minute forecasts, with root mean squared error as low as 0.09 to 0 …
Persistent link: https://www.econbiz.de/10011518802
Saved in:
3
Forecasting limit order book liquidity supply-demand curves with functional autoregressive dynamics
Chen, Ying
;
Chua, Wee Song
;
Härdle, Wolfgang
- In:
Quantitative finance
19
(
2019
)
9
,
pp. 1473-1489
Persistent link: https://www.econbiz.de/10012194799
Saved in:
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