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Quantitative Finance Volume 19, 2019 - Issue 9: Machine Learning and AI
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Special Issue Papers

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

Ying ChenDepartment of Mathematics, Faculty of Science, National University of Singapore, Block S17, Level 8, 2 Science Drive 2, Singapore117543, Singapore;Department of Statistics & Applied Probability, Faculty of Science, National University of Singapore, Block S16, Level 7, 6 Science Drive 2, Singapore117546, Singapore;Risk Management Institute, National University of Singapore, 21 Heng Mui Keng Terrace, I Building #04-03, Singapore119613, SingaporeView further author information
,
Wee Song ChuaDepartment of Statistics & Applied Probability, Faculty of Science, National University of Singapore, Block S16, Level 7, 6 Science Drive 2, Singapore117546, SingaporeCorrespondence[email protected]
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&
Wolfgang Karl HärdleLadislaus von Bortkiewicz Chair of Statistics, C.A.S.E. – Center for Applied Statistics & Economics, Humboldt-Universität zu Berlin, Unter den Linden 6, Berlin10099, Germany;Sim Kee Boon Institute for Financial Economics, Singapore Management University, 81 Victoria Street, Singapore188065, SingaporeView further author information
Pages 1473-1489 | Received 28 Mar 2018, Accepted 06 May 2019, Published online: 09 Jul 2019

Citations (7)

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Read on this site (2)

Xiaofei Xu, Ying Chen, Ge Zhang & Thorsten Koch. (2022) Modeling Functional Time Series and Mixed-Type Predictors With Partially Functional Autoregressions. Journal of Business & Economic Statistics 0:0, pages 1-18.
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Shih-Feng Huang, Meihui Guo & May-Ru Chen. (2020) Stock market trend prediction using a functional time series approach. Quantitative Finance 20:1, pages 69-79.
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Articles from other publishers (5)

Hossein Haghbin & Mehdi Maadooliat. (2023) A journey from univariate to multivariate functional time series: A comprehensive review. WIREs Computational Statistics.
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Ying Chen, Maria Grith & Hannah Lai. (2023) Neural Tangent Kernel in Implied Volatility Forecasting: A Nonlinear Functional Autoregression Approach. SSRN Electronic Journal.
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Ying Chen, Thorsten Koch, Kian Guan Lim, Xiaofei Xu & Nazgul Zakiyeva. (2020) A review study of functional autoregressive models with application to energy forecasting. WIREs Computational Statistics 13:3.
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Lennart Ante. (2022) Liquidity Shocks, Token Returns and Market Capitalization in Decentralized Finance (DeFi) Markets. SSRN Electronic Journal.
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Ying Chen, Thorsten Koch & Xiaofei Xu. (2019) Regularized Partially Functional Autoregressive Model. SSRN Electronic Journal.
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