Regime-based Optimal Passive Limit Order Placement

Optimal limit order placement is an important topic that has drawn interest from practitioners and academics. The limit order placement has several aspects, such as the shape of order placement, the frequency of the placement, and the order sizing. We will address only the shape of the limit order placement at different levels. While equally important and related, we will address the other topics in a separate paper. Furthermore, the paper presented here might use simulation results for illustration, but we will provide production results in our forthcoming papers.

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