2 papers
q-fin.ST2023
Liquidity takers behavior representation through a contrastive learning approach
Ruihua Ruan, Emmanuel Bacry, Jean-François Muzy
Thanks to the access to the labeled orders on the CAC40 data from Euronext, we are able to analyze agents' behaviors in the market based on their placed orders. In this study, we c…
q-fin.TR2023
The self-exciting nature of the bid-ask spread dynamics
Ruihua Ruan, Emmanuel Bacry, Jean-François Muzy
The bid-ask spread, which is defined by the difference between the best selling price and the best buying price in a Limit Order Book at a given time, is a crucial factor in the an…