Reducing transaction costs using intraday forecasts of limit order book slopes
Chahid Ahabchane, Tolga Cenesizoglu, Gunnar Grass, Sanjay Dominik Jena
| Year of publication: |
September 2021
|
|---|---|
| Authors: | Ahabchane, Chahid ; Cenesizoglu, Tolga ; Grass, Gunnar ; Jena, Sanjay Dominik |
| Publisher: |
Montréal (Québec) : Bureau de Montreal, Université de Montreal |
| Subject: | Best order execution | ultra high-frequency data | time series models | Machine learning models | Transaktionskosten | Transaction costs | Prognoseverfahren | Forecasting model | Wertpapierhandel | Securities trading | Zeitreihenanalyse | Time series analysis | Theorie | Theory | Künstliche Intelligenz | Artificial intelligence | Marktmikrostruktur | Market microstructure |
freely available
| Extent: | 1 Online-Ressource (circa 35 Seiten) Illustrationen |
|---|---|
| Series: | CIRRELT. - Montréal (Québec), Canada : [CIRRELT], ZDB-ID 3003614-8. - Vol. CIRRELT-2021, 36 |
| Type of publication: | Book / Working Paper |
| Type of publication (narrower categories): | Graue Literatur ; Non-commercial literature ; Arbeitspapier ; Working Paper |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012615644