Deep attentive survival analysis in limit order books: estimating fill probabilities with convolutional-transformers-Reference-Cited by-同舟云学术

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

Published:2024-01-02 Issue:1 Volume:24 Page:35-57
ISSN:1469-7688
Container-title:Quantitative Finance
language:en
Short-container-title:Quantitative Finance

Author:

Arroyo Álvaro¹,Cartea Álvaro¹²,Moreno-Pino Fernando¹³,Zohren Stefan¹

Affiliation:

1. Oxford-Man Institute of Quantitative Finance, University of Oxford, Oxford, UK

2. Mathematical Institute, University of Oxford, Oxford, UK

3. Signal Processing and Learning Group, Universidad Carlos III de Madrid, Madrid, Spain

Funder

Rafael del Pino Foundation

Spanish Ministerio de Ciencia, Innovación y Universidades

Ministerio de Ciencia e Innovación

European Commission

Comunidad de Madrid

FEDER

European Research Council

Publisher

Informa UK Limited

Subject

General Economics, Econometrics and Finance,Finance

Link

https://www.tandfonline.com/doi/pdf/10.1080/14697688.2023.2286351

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