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Härdle, Wolfgang; Hautsch, Nikolaus; Mihoci, Andrija - 2009

We model the dynamics of ask and bid curves in a limit order book market using a dynamic semiparametric factor model. The shape of the curves is captured by a factor structure which is estimated nonparametrically. Corresponding factor loadings are assumed to follow multivariate dynamics and are...

Persistent link: https://www.econbiz.de/10003881566

Modelling and forecasting liquidity supply using semiparametric factor dynamics

Härdle, Wolfgang; Hautsch, Nikolaus; Mihoci, Andrija - 2009

Persistent link: https://www.econbiz.de/10003887437