Analysis and modeling of client order flow in limit order markets

DOI10.1080/14697688.2022.2150282zbMath1519.91243MaRDI QIDQ6158395

Rama Cont, Unnamed Author, Unnamed Author, Mihai Cucuringu

Publication date: 20 June 2023

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

zbMATH Keywords

financial marketslimit order bookorder flow

Mathematics Subject Classification ID

Financial markets (91G15)

Cites Work

• Unnamed Item
• Limit order books
• Price Dynamics in a Markovian Limit Order Market
• A Stochastic Model for Order Book Dynamics
• Statistical properties of stock order books: empirical results and models
• Statistical theory of the continuous double auction
• Universal features of price formation in financial markets: perspectives from deep learning
• DeepLOB: Deep Convolutional Neural Networks for Limit Order Books

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