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

DOI10.1007/S10479-019-03384-YMaRDI QIDQ829150zbMATH OpenOpenAlexWikidataFDO

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

zbMATH Keywords

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

Mathematics Subject Classification ID

Financial markets (91G15)

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Cites work

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

Cited in

(5)

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

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