Reducing transaction costs using intraday forecasts of limit order book slopes
Chahid Ahabchane, Tolga Cenesizoglu, Gunnar Grass, Sanjay Dominik Jena
| Year of publication: |
2024
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|---|---|
| Authors: | Ahabchane, Chahid ; Cenesizoglu, Tolga ; Grass, Gunnar ; Jena, Sanjay Dominik |
| Published in: |
Journal of forecasting. - New York, NY : Wiley Interscience, ISSN 1099-131X, ZDB-ID 2001645-1. - Vol. 43.2024, 8, p. 2982-3008
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| Subject: | best order execution | machine learning models | time series models | ultra-high-frequency data | Transaktionskosten | Transaction costs | Theorie | Theory | Wertpapierhandel | Securities trading | Prognoseverfahren | Forecasting model | Zeitreihenanalyse | Time series analysis | Künstliche Intelligenz | Artificial intelligence | Marktmikrostruktur | Market microstructure |
freely available
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1002/for.3164 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015110592