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Deep attentive survival analysis in limit order books: estimating fill probabilities with convolutional-transformers
Quantitative Finance ( IF 1.3 ) Pub Date : 2024-01-30 , DOI: 10.1080/14697688.2023.2286351 Álvaro Arroyo 1 , Álvaro Cartea 1, 2 , Fernando Moreno-Pino 1, 3 , Stefan Zohren 1
Quantitative Finance ( IF 1.3 ) Pub Date : 2024-01-30 , DOI: 10.1080/14697688.2023.2286351 Álvaro Arroyo 1 , Álvaro Cartea 1, 2 , Fernando Moreno-Pino 1, 3 , Stefan Zohren 1
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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...
中文翻译：
限价订单簿中的深度关注生存分析：使用卷积变换器估计填充概率
执行策略的关键决策之一是选择被动（提供流动性）或激进（获取流动性）订单来执行限价订单簿 (LOB) 中的交易。埃塞...
更新日期：2024-01-30
中文翻译：
限价订单簿中的深度关注生存分析：使用卷积变换器估计填充概率
执行策略的关键决策之一是选择被动（提供流动性）或激进（获取流动性）订单来执行限价订单簿 (LOB) 中的交易。埃塞...
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