Journal article
Analysis and modeling of client order flow in limit order markets
- Abstract:
- Four distinct clusters of client order flow are identified and their properties analyzed.
- Publication status:
- Published
- Peer review status:
- Peer reviewed
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- Files:
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(Preview, Version of record, pdf, 3.2MB, Terms of use)
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- Publisher copy:
- 10.1080/14697688.2022.2150282
Authors
- Publisher:
- Routledge
- Journal:
- Quantitative Finance More from this journal
- Volume:
- 23
- Issue:
- 2
- Pages:
- 187-205
- Publication date:
- 2023-01-16
- Acceptance date:
- 2022-10-28
- DOI:
- EISSN:
-
1469-7696
- ISSN:
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1469-7688
- Language:
-
English
- Keywords:
- Pubs id:
-
1287975
- Local pid:
-
pubs:1287975
- Deposit date:
-
2022-10-28
- ARK identifier:
Terms of use
- Copyright holder:
- Cont et al.
- Copyright date:
- 2023
- Rights statement:
- © 2023 The Author(s). Published by Informa UK Limited, trading as Taylor & Francis Group. This is an Open Access article distributed under the terms of the Creative Commons Attribution License (http://creativecommons.org/licenses/by/4.0/), which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
- Licence:
- CC Attribution (CC BY)
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