Dynamic limit order placement strategies: survival analysis with a multiple-spell duration model

DOI10.1007/S10479-019-03384-YzbMATH Open1461.91302OpenAlexW2974256110WikidataQ127218071 ScholiaQ127218071MaRDI QIDQ829150FDOQ829150

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

Publication date: 5 May 2021

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

Full work available at URL: https://doi.org/10.1007/s10479-019-03384-y

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zbMATH Keywords

survival analysisAustralian securities exchange (ASX)dynamic order placement strategiesmultiple-spell durationtick-by-tick data

Mathematics Subject Classification ID

Financial markets (91G15)

Cites Work

• Econometric Methods for the Duration of Unemployment
• Continuous Auctions and Insider Trading
• Empirical Analysis of Limit Order Markets

Cited In (5)

• Analysing liquidity and absorption limits of electronic markets with volume durations
• Identifying expensive trades by monitoring the limit order book
• Dynamic limit order placement activities and their effects on stock market quality
• Analysis and modeling of client order flow in limit order markets
• Deep attentive survival analysis in limit order books: estimating fill probabilities with convolutional-transformers

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