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 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)
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