Vacslav Glukhov

JP Morgan

London

United Kingdom

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Analysis and Modeling of Client Order Flow in Limit Order Markets

Number of pages: 32 Posted: 28 Feb 2022
Rama Cont, Mihai Cucuringu, Vacslav Glukhov and Felix Prenzel
University of Oxford, University of Oxford - Department of Statistics, JP Morgan and University of Oxford - Mathematical Institute
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Abstract:

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Limit order books, order flow, heterogeneous order flow, unsupervised learning, clustering, time series, machine learning