限价订单簿中的深度存活分析：利用卷积变换器估算成交概率

IF 1.5 4区经济学 Q3 BUSINESS, FINANCE

Quantitative Finance Pub Date : 2024-01-04 DOI:10.1080/14697688.2023.2286351

Álvaro Arroyo, Álvaro Cartea, Fernando Moreno-Pino, Stefan Zohren

引用次数: 0

摘要

执行策略的关键决策之一是在限价订单簿（LOB）中执行交易时选择被动（提供流动性）订单还是主动（占用流动性）订单。在这种情况下...

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Deep attentive survival analysis in limit order books: estimating fill probabilities with convolutional-transformers

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). Esse...

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来源期刊

Quantitative Finance 社会科学-数学跨学科应用

CiteScore

3.20

自引率

7.70%

发文量

102

审稿时长

4-8 weeks

期刊介绍： The frontiers of finance are shifting rapidly, driven in part by the increasing use of quantitative methods in the field. Quantitative Finance welcomes original research articles that reflect the dynamism of this area. The journal provides an interdisciplinary forum for presenting both theoretical and empirical approaches and offers rapid publication of original new work with high standards of quality. The readership is broad, embracing researchers and practitioners across a range of specialisms and within a variety of organizations. All articles should aim to be of interest to this broad readership.