{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2025,11,14]],"date-time":"2025-11-14T10:03:26Z","timestamp":1763114606256,"version":"3.44.0"},"publisher-location":"New York, NY, USA","reference-count":25,"publisher":"ACM","license":[{"start":{"date-parts":[[2023,11,25]],"date-time":"2023-11-25T00:00:00Z","timestamp":1700870400000},"content-version":"vor","delay-in-days":0,"URL":"https:\/\/www.acm.org\/publications\/policies\/copyright_policy#Background"}],"content-domain":{"domain":["dl.acm.org"],"crossmark-restriction":true},"short-container-title":[],"published-print":{"date-parts":[[2023,11,27]]},"DOI":"10.1145\/3604237.3626874","type":"proceedings-article","created":{"date-parts":[[2023,11,25]],"date-time":"2023-11-25T18:09:47Z","timestamp":1700935787000},"page":"637-645","update-policy":"https:\/\/doi.org\/10.1145\/crossmark-policy","source":"Crossref","is-referenced-by-count":3,"title":["Order Flow Decomposition for Price Impact Analysis in Equity Limit Order Books"],"prefix":"10.1145","author":[{"ORCID":"https:\/\/orcid.org\/0009-0003-7504-8930","authenticated-orcid":false,"given":"Bogdan","family":"Sitaru","sequence":"first","affiliation":[{"name":"Department of Computer Science, University of Oxford, United Kingdom"}]},{"ORCID":"https:\/\/orcid.org\/0000-0003-2082-734X","authenticated-orcid":false,"given":"Anisoara","family":"Calinescu","sequence":"additional","affiliation":[{"name":"Department of Computer Science, University of Oxford, United Kingdom and The Alan Turing Institute, United Kingdom"}]},{"ORCID":"https:\/\/orcid.org\/0000-0002-8464-2152","authenticated-orcid":false,"given":"Mihai","family":"Cucuringu","sequence":"additional","affiliation":[{"name":"Department of Statistics & Mathematical Institute, University of Oxford, United Kingdom and The Alan Turing Institute, United Kingdom"}]}],"member":"320","published-online":{"date-parts":[[2023,11,25]]},"reference":[{"key":"e_1_3_2_1_1_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00345"},{"key":"e_1_3_2_1_2_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhy041"},{"key":"e_1_3_2_1_3_1","volume-title":"Multi-asset market impact and order flow commonality. SSRN 3706390","author":"Capponi Francesco","year":"2020","unstructured":"Francesco Capponi and Rama Cont. 2020. Multi-asset market impact and order flow commonality. SSRN 3706390 (2020)."},{"key":"e_1_3_2_1_4_1","doi-asserted-by":"crossref","unstructured":"Alvaro Cartea Ronnelly Donnelly and Sebastian Jaimungal. 2015. Enhancing Trading Strategies with Order Book Signals.","DOI":"10.2139\/ssrn.2668277"},{"key":"e_1_3_2_1_5_1","doi-asserted-by":"publisher","DOI":"10.1111\/jofi.12733"},{"key":"e_1_3_2_1_6_1","volume-title":"Alpha go everywhere: Machine learning and international stock returns. SSRN 3489679","author":"Choi Darwin","year":"2022","unstructured":"Darwin Choi, Wenxi Jiang, and Chao Zhang. 2022. Alpha go everywhere: Machine learning and international stock returns. SSRN 3489679 (2022)."},{"key":"e_1_3_2_1_7_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(02)00136-8"},{"key":"e_1_3_2_1_8_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(03)00175-2"},{"key":"e_1_3_2_1_9_1","doi-asserted-by":"publisher","DOI":"10.1080\/14697688.2023.2236159"},{"key":"e_1_3_2_1_10_1","doi-asserted-by":"publisher","DOI":"10.1093\/jjfinec\/nbt003"},{"key":"e_1_3_2_1_11_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00297"},{"key":"e_1_3_2_1_12_1","volume-title":"Chicago Booth Research Paper14-05","author":"Frazzini Andrea","year":"2012","unstructured":"Andrea Frazzini, Ronen Israel, and Tobias\u00a0J Moskowitz. 2012. Trading costs of asset pricing anomalies. Fama-Miller Working Paper, Chicago Booth Research Paper14-05 (2012)."},{"key":"e_1_3_2_1_13_1","volume-title":"A theory of power-law distributions in financial market fluctuations. Nature 423, 6937","author":"Gabaix Xavier","year":"2003","unstructured":"Xavier Gabaix, Parameswaran Gopikrishnan, Vasiliki Plerou, and H\u00a0Eugene Stanley. 2003. A theory of power-law distributions in financial market fluctuations. Nature 423, 6937 (2003), 267\u2013270."},{"key":"e_1_3_2_1_14_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2009.01469.x"},{"key":"e_1_3_2_1_15_1","doi-asserted-by":"crossref","unstructured":"Joel Hasbrouck and Gideon Saar. 2001. Limit orders and volatility in a hybrid market: The Island ECN. (2001).","DOI":"10.2139\/ssrn.310940"},{"key":"e_1_3_2_1_16_1","doi-asserted-by":"publisher","DOI":"10.2139\/ssrn.1977207"},{"key":"e_1_3_2_1_17_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/9.1.1"},{"key":"e_1_3_2_1_18_1","doi-asserted-by":"crossref","unstructured":"Bryan\u00a0T Kelly Semyon Malamud and Kangying Zhou. 2022. The virtue of complexity in return prediction. Technical Report. National Bureau of Economic Research.","DOI":"10.3386\/w30217"},{"key":"e_1_3_2_1_19_1","volume-title":"Deep order flow imbalance: Extracting alpha at multiple horizons from the limit order book. Mathematical Finance00","author":"Kolm N.","year":"2023","unstructured":"Petter\u00a0N. Kolm, Jeremy Turiel, and Nicholas Westray. 2023. Deep order flow imbalance: Extracting alpha at multiple horizons from the limit order book. Mathematical Finance00 (2023), 1\u201338."},{"key":"e_1_3_2_1_20_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhv063"},{"key":"e_1_3_2_1_21_1","volume-title":"More statistical properties of order books and price impact. Physica A: Statistical Mechanics and its Applications 324, 1-2","author":"Potters Marc","year":"2003","unstructured":"Marc Potters and Jean-Philippe Bouchaud. 2003. More statistical properties of order books and price impact. Physica A: Statistical Mechanics and its Applications 324, 1-2 (2003), 133\u2013140."},{"key":"e_1_3_2_1_22_1","doi-asserted-by":"publisher","DOI":"10.1080\/14697688.2019.1622295"},{"key":"e_1_3_2_1_23_1","volume-title":"The Price Impact of Generalized Order Flow Imbalance. arXiv preprint arXiv:2112.02947","author":"Su Yuhan","year":"2021","unstructured":"Yuhan Su, Zeyu Sun, Jiarong Li, and Xianghui Yuan. 2021. The Price Impact of Generalized Order Flow Imbalance. arXiv preprint arXiv:2112.02947 (2021)."},{"key":"e_1_3_2_1_24_1","doi-asserted-by":"publisher","DOI":"10.1080\/14697680500244411"},{"key":"e_1_3_2_1_25_1","volume-title":"Multi-level order-flow imbalance in a limit order book. Market Microstructure and Liquidity 4, 03n04","author":"Xu Ke","year":"2018","unstructured":"Ke Xu, Martin\u00a0D Gould, and Sam\u00a0D Howison. 2018. Multi-level order-flow imbalance in a limit order book. Market Microstructure and Liquidity 4, 03n04 (2018)."}],"event":{"name":"ICAIF '23: 4th ACM International Conference on AI in Finance","acronym":"ICAIF '23","location":"Brooklyn NY USA"},"container-title":["4th ACM International Conference on AI in Finance"],"original-title":[],"link":[{"URL":"https:\/\/dl.acm.org\/doi\/10.1145\/3604237.3626874","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/dl.acm.org\/doi\/pdf\/10.1145\/3604237.3626874","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2025,8,22]],"date-time":"2025-08-22T17:37:49Z","timestamp":1755884269000},"score":1,"resource":{"primary":{"URL":"https:\/\/dl.acm.org\/doi\/10.1145\/3604237.3626874"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2023,11,25]]},"references-count":25,"alternative-id":["10.1145\/3604237.3626874","10.1145\/3604237"],"URL":"https:\/\/doi.org\/10.1145\/3604237.3626874","relation":{},"subject":[],"published":{"date-parts":[[2023,11,25]]},"assertion":[{"value":"2023-11-25","order":3,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]}}