Bogdan Sitaru, Anisoara Calinescu, Mihai Cucuringu. Order Flow Decomposition for Price Impact Analysis in Equity Limit Order Books. In 4th ACM International Conference on AI in Finance, ICAIF 2023, Brooklyn, NY, USA, November 27-29, 2023. pages 637-645, ACM, 2023. [doi]
Abstract is missing.