Limit order book contains comprehensive information of liquidity on bid and ask sides. We propose a Vector Functional … the joint evolution of the liquidity demand and supply curves. In the VFAR framework, we derive a closed-form maximum … in liquidity curves, with R2 values as high as 98.5 percent for insample estimation and 98.2 percent in out …

-ask spreads ; forecasting ; high-frequency data ; stock market liquidity ; count data time series ; long memory Poisson …

We develop a dynamic model to simultaneously characterize the liquidity demand and supply in limit order book. The …