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Deep Attentive Survival Analysis in Limit Order Books: Estimating Fill Probabilities with Convolutional-Transformers
Essential to this choice is the fill probability of a passive limit order placed in the LOB.
Hedging Non-Tradable Risks with Transaction Costs and Price Impact
A risk-averse agent hedges her exposure to a non-tradable risk factor $U$ using a correlated traded asset $S$ and accounts for the impact of her trades on both factors.
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