Deep attentive survival analysis in limit order books: estimating fill probabilities with convolutional-transformers

DOI10.1080/14697688.2023.2286351arXiv2306.05479OpenAlexW4390581326MaRDI QIDQ6127422

Unnamed Author, Unnamed Author, Álvaro Cartea, Stefan Zohren

Publication date: 12 April 2024

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2306.05479

zbMATH Keywords

survival analysis optimal execution market making limit order book order placement fill probabilities

Mathematics Subject Classification ID

Financial markets (91G15)

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