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

Author

Listed:
  • Anh Tu Le

    (PwC
    University of New South Wales (UNSW))

  • Thai-Ha Le

    (Fulbright University
    IPAG Business School)

  • Wai-Man Liu

    (Australian National University)

  • Kingsley Y. Fong

    (University of New South Wales (UNSW))

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.

Suggested Citation

  • Anh Tu Le & Thai-Ha Le & Wai-Man Liu & Kingsley Y. Fong, 2021. "Dynamic limit order placement strategies: survival analysis with a multiple-spell duration model," Annals of Operations Research, Springer, vol. 297(1), pages 241-275, February.
    • Handle: RePEc:spr:annopr:v:297:y:2021:i:1:d:10.1007_s10479-019-03384-y
    DOI: 10.1007/s10479-019-03384-y
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