A deep learning approach to estimating fill probabilities in a limit order book
Year of publication: |
2022
|
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Authors: | Maglaras, Costis ; Moallemi, Ciamac C. ; Wang, Muye |
Published in: |
Quantitative finance. - London : Taylor & Francis, ISSN 1469-7696, ZDB-ID 2027557-2. - Vol. 22.2022, 11, p. 1989-2003
|
Subject: | Fill probabilities | Limit order book | Neural network | Simulation | Wertpapierhandel | Securities trading | Neuronale Netze | Neural networks | Wahrscheinlichkeitsrechnung | Probability theory | Theorie | Theory | Marktmikrostruktur | Market microstructure |
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