Analysis and modeling of client order flow in limit order markets

Rama Cont, Mihai Cucuringu, Vacslav Glukhov and Felix Prenzel

Quantitative Finance, 2023, vol. 23, issue 2, 187-205

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

Date: 2023
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://hdl.handle.net/10.1080/14697688.2022.2150282 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:quantf:v:23:y:2023:i:2:p:187-205

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RQUF20

DOI: 10.1080/14697688.2022.2150282

Access Statistics for this article

Quantitative Finance is currently edited by Michael Dempster and Jim Gatheral

More articles in Quantitative Finance from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().