Deep attentive survival analysis in limit order books: estimating fill probabilities with convolutional-transformers
Work
Year: 2024
Type: article
Abstract: One of the key decisions in execution strategies is the choice between a passive (liquidity providing) or an aggressive (liquidity taking) order to execute a trade in a limit order book (LOB). Essenti... more
Source: Quantitative Finance
Institutions University of Oxford, Universidad Carlos III de Madrid
Cites: 51
Cited by: 10
Related to: 10
FWCI: 9.126
Citation percentile (by year/subfield): 80.63
Field: Decision Sciences
Domain: Social Sciences
Sustainable Development Goal Partnerships for the goals
Open Access status: green