Multiple duration analyses of dynamic limit order placement strategies and aggressiveness in a low-latency market environment
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DOI: 10.1016/j.irfa.2020.101575
Abstract: Abstract This study examines dynamic order placement strategies in a low-latency environment together with limit orders' aggressiveness by a new approach which utilises survival analysis with a multiple-spell duration model. Two samples are considered, including… read more here.
Keywords: placement strategies; low latency; order placement;