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Analysis and modeling of client order flow in limit order markets

Author

Listed:
  • Rama Cont
  • Mihai Cucuringu
  • Vacslav Glukhov
  • Felix Prenzel

Abstract

Four distinct clusters of client order flow are identified and their properties analyzed

Suggested Citation

  • Rama Cont & Mihai Cucuringu & Vacslav Glukhov & Felix Prenzel, 2023. "Analysis and modeling of client order flow in limit order markets," Quantitative Finance, Taylor & Francis Journals, vol. 23(2), pages 187-205, February.
    • Handle: RePEc:taf:quantf:v:23:y:2023:i:2:p:187-205
    DOI: 10.1080/14697688.2022.2150282
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    Cited by:

    1. Konark Jain & Nick Firoozye & Jonathan Kochems & Philip Treleaven, 2024. "Limit Order Book Simulations: A Review," Papers 2402.17359, arXiv.org, revised Mar 2024.

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