Deep attentive survival analysis in limit order books : estimating fill probabilities with convolutional-transformers
Álvaro Arroyo, Álvaro Cartea, Fernando Moreno-Pino and Stefan Zohren
| Year of publication: |
2024
|
|---|---|
| Authors: | Arroyo, Álvaro ; Cartea, Álvaro ; Moreno-Pino, Fernando ; Zohren, Stefan |
| Subject: | Fill probabilities | Limit order book | Market making | Optimal execution | Order placement | Survival analysis | Wertpapierhandel | Securities trading | Theorie | Theory | Schätzung | Estimation | Börsenkurs | Share price | Marktmikrostruktur | Market microstructure | Geld-Brief-Spanne | Bid-ask spread | Wahrscheinlichkeitsrechnung | Probability theory | Statistische Bestandsanalyse | Duration analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/14697688.2023.2286351 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10014551895