Identifying Expensive Trades by Monitoring the Limit Order Book (Q4687609)
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scientific article; zbMATH DE number 6952598
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Identifying Expensive Trades by Monitoring the Limit Order Book |
scientific article; zbMATH DE number 6952598 |
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Identifying Expensive Trades by Monitoring the Limit Order Book (English)
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12 October 2018
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split orders
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transaction costs
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Lasso
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microstructure variables
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logistic model
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