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Quantitative Finance Volume 24, 2024 - Issue 6
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Research Papers

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

Yutong Lu† Department of Statistics, University of Oxford, 24–29 St Giles', OxfordOX1 3LB, UKCorrespondence[email protected]
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,
Gesine Reinert† Department of Statistics, University of Oxford, 24–29 St Giles', OxfordOX1 3LB, UK;¶ The Alan Turing Institute, 96 Euston Rd, LondonNW1 2DB, UKView further author information
&
Mihai Cucuringu† Department of Statistics, University of Oxford, 24–29 St Giles', OxfordOX1 3LB, UK;‡ Mathematical Institute, University of Oxford, Woodstock Rd, OxfordOX2 6GG, UK;§ Oxford-Man Institute of Quantitative Finance, University of Oxford, Oxford, UK;¶ The Alan Turing Institute, 96 Euston Rd, LondonNW1 2DB, UKView further author information
Pages 779-809 | Received 22 Sep 2022, Accepted 15 May 2024, Published online: 19 Jun 2024

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