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Title: Analysis and modeling of client order flow in limit order markets Authors:  Felix Prenzel - University of Oxford (United Kingdom) [presenting]
Abstract: Orders in major electronic stock markets are organised through centralised limit order books (LOBs). Large amounts of historical data have led to extensive research modelling LOBs to understand their dynamics better and build simulators as a framework for controlled experiments, when testing trading algorithms or execution strategies. Most work in the literature models the aggregate view of the LOB, also known as queue size, using a point process. Brokers and exchanges, however, also have more granular information on the origin of limit orders. This leads to a more granular view of limit order book dynamics, which we attempt to model using a heterogeneous model of order flow. We present a granular representation of the limit order book that allows accounting for the origins of limit orders. Using trade execution data, we analyse the properties of variables in this representation. The heterogeneity of order flow is modelled by segmenting traders into different clusters, for which we identify representative prototypes. This segmentation appears to be stable both over time as well as over different stocks. Our findings can be leveraged to build more realistic order flow models that account for the diversity of the market participants.