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"Order Flow Decomposition for Price Impact Analysis in Equity Limit Order ..."

Bogdan Sitaru, Anisoara Calinescu, Mihai Cucuringu (2023)

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DOI: 10.1145/3604237.3626874

access: closed

type: Conference or Workshop Paper

metadata version: 2023-12-10

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  dblp key:
  - conf/icaif/SitaruCC23
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  - https://dblp.org/rec/conf/icaif/SitaruCC23
Bogdan Sitaru, Anisoara Calinescu, Mihai Cucuringu:
Order Flow Decomposition for Price Impact Analysis in Equity Limit Order Books. ICAIF 2023: 637-645

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