| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 10475253 | Journal of Empirical Finance | 2012 | 16 Pages |
Abstract
⺠The Dynamic Semiparametric Factor Model successfully models liquidity supply. ⺠The spatial structure of the limit order book can be explained by two factors. ⺠Factor loadings and quote dynamics follow a vector error correction specification. ⺠Our method outperforms a naive benchmark approach. ⺠Intra-day order execution strategies can be improved.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Wolfgang Karl Härdle, Nikolaus Hautsch, Andrija Mihoci,