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Dynamic limit order placement strategies: survival analysis with a multiple-spell duration model

Anh Tu Le, Thai-Ha Le (), Wai-Man Liu and Kingsley Y. Fong
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Anh Tu Le: PwC
Wai-Man Liu: Australian National University
Kingsley Y. Fong: University of New South Wales (UNSW)

Annals of Operations Research, 2021, vol. 297, issue 1, No 11, 275 pages

Abstract: Abstract This study investigates the multiple events that occur in the life of each limit order by utilising a survival analysis methodology with a multiple-spell duration model. The estimates suggest that the hazard rates of limit order event transitions are determined by a number of factors and their impacts depend on whether the initial order event is a limit order submission, partial execution or revision. The differences in estimates across initial order events increase as exchange latency reduces in recent years. Using a multiple-spell duration model to examine the full spectrum of events that occur in the life of a limit order is thus shown to be informative and essential in modelling dynamic limit order placement strategies.

Keywords: Tick-by-tick data; Dynamic order placement strategies; Survival analysis; Multiple-spell duration; Australian securities exchange (ASX); C35; G15 (search for similar items in EconPapers)
Date: 2021
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DOI: 10.1007/s10479-019-03384-y

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