Journal ArticleOPEN ACCESS

Analysis and modeling of client order flow in limit order markets

Quantitative Finance (2023) 23(2) 187-205
DOI: 10.1080/14697688.2022.2150282
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Abstract

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

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APA

Cont, R., Cucuringu, M., Glukhov, V., & Prenzel, F. (2023). Analysis and modeling of client order flow in limit order markets. Quantitative Finance, 23(2), 187–205. https://doi.org/10.1080/14697688.2022.2150282

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