Trade co-occurrence, trade flow decomposition and conditional order imbalance in equity markets
Yutong Lu, Gesine Reinert and Mihai Cucuringu
| Year of publication: |
2024
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|---|---|
| Authors: | Lu, Yutong ; Reinert, Gesine ; Cucuringu, Mihai |
| Published in: |
Quantitative finance. - London : Taylor & Francis, ISSN 1469-7696, ZDB-ID 2027557-2. - Vol. 24.2024, 6, p. 779-809
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| Subject: | Co-occurrence analysis | Market microstructure | Order imbalances | Return forecasting | Trading strategies | Marktmikrostruktur | Wertpapierhandel | Securities trading | Aktienmarkt | Stock market | Handelsvolumen der Börse | Trading volume | Kapitaleinkommen | Capital income | Internationale Wirtschaft | International economy |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/14697688.2024.2358963 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015050797