3 citations · 3 across the 3 of their papers we have counts for
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q-fin.ST2023
Deep Attentive Survival Analysis in Limit Order Books: Estimating Fill Probabilities with Convolutional-Transformers
Alvaro Arroyo, Alvaro Cartea, Fernando Moreno-Pino +1
One of the key decisions in execution strategies is the choice between a passive (liquidity providing) or an aggressive (liquidity taking) order to execute a trade in a limit order…
q-fin.ST2021
Nonstationary Portfolios: Diversification in the Spectral Domain
Bruno Scalzo, Alvaro Arroyo, Ljubisa Stankovic +1
Classical portfolio optimization methods typically determine an optimal capital allocation through the implicit, yet critical, assumption of statistical time-invariance. Such model…