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

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