Trade co-occurrence, trade flow decomposition and conditional order imbalance in equity markets-Reference-Cited by-同舟云学术

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

Published:2024-06-02 Issue:6 Volume:24 Page:779-809
ISSN:1469-7688
Container-title:Quantitative Finance
language:en
Short-container-title:Quantitative Finance

Author:

Lu Yutong¹,Reinert Gesine¹²,Cucuringu Mihai¹³⁴²

Affiliation:

1. Department of Statistics, University of Oxford, 24–29 St Giles', Oxford OX1 3LB, UK

2. The Alan Turing Institute, 96 Euston Rd, London NW1 2DB, UK

3. Mathematical Institute, University of Oxford, Woodstock Rd, Oxford OX2 6GG, UK

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

Funder

EPSRC

Publisher

Informa UK Limited

Link

https://www.tandfonline.com/doi/pdf/10.1080/14697688.2024.2358963

Reference68 articles.

1. Image co-localization – co-occurrence versus correlation

2. How and When are High-Frequency Stock Returns Predictable?

3. Aldridge, I., High-Frequency Trading: A Practical Guide to Algorithmic Strategies and Trading Systems, Vol. 604, 2013 (John Wiley & Sons).

4. The co-occurrence of spouse and physical child abuse: A review and appraisal.

5. Using species co-occurrence networks to assess the impacts of climate change

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