Carry Forward Modeling for High-Frequency Limit-Order Executions: An Emerging Market Perspective
In this study, we estimate the order execution probability of a limit-order book (LOB) and analyze its determinants using high-frequency LOB data from the National Stock Exchange (NSE) of India. For this purpose, we propose an algorithm that estimates the LOB execution time. Using a survival functio...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Pompea College of Business
2022-05-01
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| Series: | American Business Review |
| Subjects: | |
| Online Access: | https://digitalcommons.newhaven.edu/americanbusinessreview/vol25/iss1/7/ |