Trade co-occurrence, trade flow decomposition and conditional order imbalance in equity markets

DOI10.1080/14697688.2024.2358963zbMATH Open1542.91381MaRDI QIDQ6592282

Mihai Cucuringu, Gesine Reinert, Yutong Lu

Publication date: 26 August 2024

Published in: Quantitative Finance (Search for Journal in Brave)

Mathematics Subject Classification ID

Financial markets (91G15)

Cites Work

• Title not available (Why is that?)
• Similarity-based models of word cooccurrence probabilities
• The price impact of order book events: market orders, limit orders and cancellations
• Optimal Execution with Dynamic Order Flow Imbalance
• Continuous Auctions and Insider Trading
• Automatic Lag Selection in Covariance Matrix Estimation
• Common risk factors in the returns on stocks and bonds
• Optimal high-frequency trading with limit and market orders

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