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