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

DOI10.1080/14697688.2024.2358963MaRDI QIDQ6592282zbMATH OpenFDO

Authors Yutong Lu, Gesine Reinert, Mihai Cucuringu

Publication date 26 August 2024

Published in Quantitative Finance (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1080/14697688.2024.2358963

Mathematics Subject Classification ID

Financial markets (91G15)

Recommendations

• Cross-impact of order flow imbalance in equity markets
• Assessing influential trade effects via high-frequency market reactions
• Enhancing trading strategies with order book signals
• Incorporating signals into optimal trading
• Mechanical vs. informational components of price impact

Cites work

• Algorithmic and high-frequency trading
• Automatic Lag Selection in Covariance Matrix Estimation
• Common risk factors in the returns on stocks and bonds
• Continuous Auctions and Insider Trading
• Optimal execution with dynamic order flow imbalance
• Optimal high-frequency trading with limit and market orders
• Similarity-based models of word cooccurrence probabilities
• The price impact of order book events: market orders, limit orders and cancellations

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