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Quantitative Finance
Volume 23, 2023 - Issue 2
Features
Analysis and modeling of client order flow in limit order markets
Rama Cont† Mathematical Institute, University of Oxford, OxfordOX2 6GG, UK
https://orcid.org/0000-0003-1164-6053View further author information
https://orcid.org/0000-0003-1164-6053View further author information, Mihai Cucuringu† Mathematical Institute, University of Oxford, OxfordOX2 6GG, UK;‡ Department of Statistics, University of Oxford, OxfordOX1 3LB, UK;§ The Alan Turing Institute, 96 Euston Rd, LondonNW1 2DB, UKhttps://orcid.org/0000-0002-8464-2152View further author information
https://orcid.org/0000-0002-8464-2152View further author information, Vacslav Glukhov¶ J.P. Morgan, 25 Bank Street, LondonE14 5JP, UKhttps://orcid.org/0000-0002-8772-7493View further author information
https://orcid.org/0000-0002-8772-7493View further author information & Felix Prenzel† Mathematical Institute, University of Oxford, OxfordOX2 6GG, UK;¶ J.P. Morgan, 25 Bank Street, LondonE14 5JP, UKCorrespondence[email protected]
https://orcid.org/0000-0001-7109-6079View further author information
https://orcid.org/0000-0001-7109-6079View further author information