5,407 research outputs found
Modelling and forecasting liquidity supply using semiparametric factor dynamics
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 modelled using a vector autoregressive model. Applying the framework to four stocks traded at the Australian Stock Exchange (ASX) in 2002, we show that the suggested model captures the spatial and temporal dependencies of the limit order book. Relating the shape of the curves to variables reflecting the current state of the market, we show that the recent liquidity demand has the strongest impact. In an extensive forecasting analysis we show that the model is successful in forecasting the liquidity supply over various time horizons during a trading day. Moreover, it is shown that the model’s forecasting power can be used to improve optimal order execution strategies
Kosmos : Entwurf einer physischen Weltbeschreibung ; Bd. 1-3
Ich übergebe am späten Abend eines vielbewegten Lebens dem deutschen Publikum ein Werk, dessen Bild in unbestimmten Umrissen mir fast ein halbes Jahrhundert lang vor der Seele schwebte. ..
Constitution Day
Bibliography of a display of government documents from Humboldt State University, California.https://cornerstone.lib.mnsu.edu/lib-services-govdoc-display-constitution/1001/thumbnail.jp
Humboldt State University Yearbook
https://digitalcommons.humboldt.edu/yearbooks/1027/thumbnail.jp
Humboldt State University Yearbook
https://digitalcommons.humboldt.edu/yearbooks/1029/thumbnail.jp
Save California State Parks from Closure
Bibliography and images of a display of government documents from Humboldt State University, California.https://cornerstone.lib.mnsu.edu/lib-services-govdoc-display-travel/1009/thumbnail.jp
Iron Ladies: International Women\u27s Day
Bibliography and photographs of a display of government documents from Humboldt State University, California.https://cornerstone.lib.mnsu.edu/lib-services-govdoc-display-women/1001/thumbnail.jp
Artwork in Government
Bibliography of a display of government documents from Humboldt State University, California.https://cornerstone.lib.mnsu.edu/lib-services-govdoc-display-art/1007/thumbnail.jp
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