41 citations · 95 across the 19 of their papers we have counts for
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q-fin.TR2023
Co-trading networks for modeling dynamic interdependency structures and estimating high-dimensional covariances in US equity markets
Yutong Lu, Gesine Reinert, Mihai Cucuringu
The time proximity of trades across stocks reveals interesting topological structures of the equity market in the United States. In this article, we investigate how such concurrent…
q-fin.TR2022
Trade Co-occurrence, Trade Flow Decomposition, and Conditional Order Imbalance in Equity Markets
Yutong Lu, Gesine Reinert, Mihai Cucuringu
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 th…