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;
Joint Learning of Volume Scheduling and Order Placement Policies for Optimal Order Execution
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DOI: 10.3390/math12213440
Abstract: Order execution is an extremely important problem in the financial domain, and recently, more and more researchers have tried to employ reinforcement learning (RL) techniques to solve this challenging problem. There are a lot of… read more here.
Keywords: order execution; order; volume scheduling; order placement ... See more keywords