Dynamic limit order placement activities and their effects on stock market quality

DOI10.1007/S10479-021-04282-YMaRDI QIDQ6148780zbMATH OpenOpenAlexFDO

Authors Anh Tu Le, Thai H. Le, Wai-Man Liu, Kingsley Y. Fong

Publication date 8 February 2024

Published in Annals of Operations Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10479-021-04282-y

zbMATH Keywords

dynamic limit order placement strategieslatencystock market quality

Mathematics Subject Classification ID

Financial markets (91G15)

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Cites work

• Dynamic limit order placement strategies: survival analysis with a multiple-spell duration model
• Optimal order placement in limit order markets

Cited in

(1)

• Algorithmic trading and mini flash crashes: evidence from Austria

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