Dynamic limit order placement strategies: survival analysis with a multiple-spell duration model

This study investigates the multiple events that occur in the life of each limit orderby utilising a survival analysismethodology with a multiple- spellduration model. The estimates suggest that the hazard rates of limit orderevent transitions are determined by a number of factors and their impacts depend on whether the initial orderevent is a limit ordersubmission, partial execution or revision. The differences in estimates across initial orderevents increase as exchange latency reduces in recent years. Using a multiple- spellduration model to examine the full spectrum of events that occur in the life of a limit orderis thus shown to be informative and essential in modelling dynamic limit orderplacement strategies.