Dynamic limit order placement strategies: survival analysis with a multiple-spell duration model

DOI10.1007/S10479-019-03384-YzbMath1461.91302OpenAlexW2974256110WikidataQ127218071 ScholiaQ127218071MaRDI QIDQ829150

Anh Tu Le, Thai-Ha Le, Wai-Man Liu, Kingsley Y. Fong

Publication date: 5 May 2021

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10479-019-03384-y

zbMATH Keywords

survival analysisAustralian securities exchange (ASX)dynamic order placement strategiesmultiple-spell durationtick-by-tick data

Mathematics Subject Classification ID

Financial markets (91G15)

Related Items (1)

Dynamic limit order placement activities and their effects on stock market quality

Cites Work

• Continuous Auctions and Insider Trading
• Econometric Methods for the Duration of Unemployment
• Empirical Analysis of Limit Order Markets

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