ClusterLOB: Enhancing Trading Strategies by Clustering Orders in Limit Order Books
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- Rama Cont & Mihai Cucuringu & Vacslav Glukhov & Felix Prenzel, 2023. "Analysis and modeling of client order flow in limit order markets," Quantitative Finance, Taylor & Francis Journals, vol. 23(2), pages 187-205, February.
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This paper has been announced in the following NEP Reports:- NEP-MST-2025-05-26 (Market Microstructure)
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