Econometric models of limit-order executions

Econometric models of limit-order executions

We develop and estimate an econometric model of limit-order execution times using survival analysis and actual limit-order data. We estimate versions for time-to-first-fill and time-to-completion for both buy and sell limit orders, and incorporate the effects of explanatory variables such as the limit price, limit size, bid/offer spread, and market volatility. Execution times are very sensitive...

Dynamic Econometric Models

K e y w o r d s: Family of Sign RCA Models, Value at Risk, backtesting, loss function.

Economic and Econometric Models

Dynamic Econometric Models

K e y w o r d s: patent activity, panel model, decomposition of intercept.

Dynamic Econometric Models

K e y w o r d s: Box-Cox transformation, SV model, Bayesian inference.