Cross-impact of order flow imbalance in equity markets-Reference-Cited by-同舟云学术

Cross-impact of order flow imbalance in equity markets

Published:2023-08-17 Issue:10 Volume:23 Page:1373-1393
ISSN:1469-7688
Container-title:Quantitative Finance
language:en
Short-container-title:Quantitative Finance

Author:

Cont Rama¹²^ORCID,Cucuringu Mihai¹³⁴⁵^ORCID,Zhang Chao¹³⁴^ORCID

Affiliation:

1. Mathematical Institute, University of Oxford, Oxford, UK

2. Oxford Suzhou Centre for Advanced Research, Suzhou, People's Republic of China

3. Department of Statistics, University of Oxford, Oxford, UK

4. Oxford-Man Institute of Quantitative Finance, University of Oxford, Oxford, UK

5. The Alan Turing Institute, London, UK

Funder

Clarendon Fund

Publisher

Informa UK Limited

Subject

General Economics, Econometrics and Finance,Finance

Link

https://www.tandfonline.com/doi/pdf/10.1080/14697688.2023.2236159

Reference53 articles.

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5. Dissecting cross-impact on stock markets: an empirical analysis

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