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

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...

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Autors principals:	Arroyo, A, Cartea, A, Moreno-Pino, F, Zohren, S
Format:	Journal article
Idioma:	English
Publicat:	Taylor and Francis 2024

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