Fill Probabilities in a Limit Order Book with State-Dependent Stochastic Order Flows

By Felix Lokin, Fenghui Yu

Published 2024-03-05

Everscope rating

1810.9

Relevance to quantitative trading

9 / 10

Implementation complexity

7 / 10

Reproducibility

4 / 5

About this paper

Methodology: Stochastic Modeling. Problem types: Time Series Forecasting, Probability Estimation.

arXiv:2403.02572 · Paper rankings

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