Trade co-occurrence, trade flow decomposition, and conditional order imbalance in equity markets
The time proximity of high-frequency trades can contain a salient signal. In this paper, we propose a method to classify every trade, based on its proximity with other trades in the market within a short period of time, into five types. By means of a suitably defined normalized order imbalance assoc...
| Main Authors: | , , |
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| Format: | Internet publication |
| Language: | English |
| Published: |
arXiv / Cornell University
2022
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