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Lumley, Thomas

doi:10.1111/j.1751-5823.2011.00143.x

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A Model Selection1

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2014

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“…In order to search through the model space, we thus employ a modification of the leaps package in R [23], which uses an efficient version of the branch-and-bound algorithm first described in [12]. The algorithm can offer vast performance improvements, by eliminating large sections of the search space.…”

Section: A Model Selectionmentioning

confidence: 99%

Survival models for the duration of bid-ask spread deviations

Panayi

Peters

2014

2014 IEEE Conference on Computational Intelligence for Financial Engineering &Amp; Economics (CIFEr)

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Abstract-Many commonly used liquidity measures are based on snapshots of the state of the limit order book (LOB) and can thus only provide information about instantaneous liquidity, and not regarding the local liquidity regime. However, trading in the LOB is characterised by many intra-day liquidity shocks, where the LOB generally recovers after a short period of time. In this paper, we capture this dynamic aspect of liquidity using a survival regression framework, where the variable of interest is the duration of the deviations of the spread from a pre-specified level. We explore a large number of model structures using a branch-and-bound subset selection algorithm and illustrate the explanatory performance of our model.

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Section: A Model Selectionmentioning

confidence: 99%