Analysis and modeling of client order flow in limit order markets

被引：2
|
作者：
Cont, Rama [1 ]
Cucuringu, Mihai [1 ,2 ,3 ]
Glukhov, Vacslav [4 ]
Prenzel, Felix [1 ,4 ]
机构：
[1] Univ Oxford, Math Inst, Oxford OX2 6GG, England
[2] Univ Oxford, Dept Stat, Oxford OX1 3LB, England
[3] Alan Turing Inst, 96 Euston Rd, London NW1 2DB, England
[4] JP Morgan, 25 Bank St, London E14 5JP, England
来源：
QUANTITATIVE FINANCE | 2023年 / 23卷 / 02期
基金：
英国工程与自然科学研究理事会;
关键词：
D O I：
10.1080/14697688.2022.2150282
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
Four distinct clusters of client order flow are identified and their properties analyzed
引用
收藏
页码：187 / 205
页数：19
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