Trader Lead-Lag Networks and Order Flow Prediction

Author:

Challet Damien,Chicheportiche RRmy,Lallouache Mehdi,Kassibrakis Serge

Publisher

Elsevier BV

Reference33 articles.

1. High-frequency trading in a limit order book;Marco Avellaneda;Quantitative Finance,2008

2. Just how much do individual investors lose by trading?;B M Barber;Review of Financial Studies,2009

3. Controlling the False Discovery Rate: A Practical and Powerful Approach to Multiple Testing;Yoav Benjamini;Journal of the Royal Statistical Society. Series B (Methodological),1995

4. How markets slowly digest changes in supply and demand;Jean-Philippe Bouchaud;Handbook of Financial Markets: Dynamics and Evolution,2009

5. A tale of three schools: Insights on autocorrelations of short-horizon stock returns;Jacob Boudoukh;Review of nancial studies,1994

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