Forecasting Limit Order Book Liquidity Supply-Demand Curves with Functional AutoRegressive Dynamics
- Y Chen, W Chua, WK Härdle
The availability of economic and financial data in modern times provides a huge opportunity to understand, investigate and answer scientifically interesting yet practical issues in related areas. It also presents unique computational and statistical challenges, given the massive sample size, high dimensionality and non-stationary serial cross-dependence of the big data. A research team led by Prof CHEN Ying from the Department of Statistics & Applied Probability, NUS together with her collaborators from Humboldt-Universität zu Berlin, Xiamen University and University of North Carolina have developed adaptive functional time series models to describe the dynamic behaviours of the complex data.