Deep attentive survival analysis in limit order books: estimating fill probabilities with convolutional-transformers
<p>One of the key decisions in execution strategies is the choice between a passive (liquidity providing) or an aggressive (liquidity taking) order to execute a trade in a limit order book (LOB). Essential to this choice is the fill probability of a passive limit order placed in the LOB. This...
| Main Authors: | , , , |
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| Format: | Journal article |
| Jezik: | English |
| Izdano: |
Taylor and Francis
2024
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