We introduce new machine learning methods for clustering traders who are actively trading in a modern electronic exchange which uses a matching engine to track aggregate and individual-level limit order books. Each trader's individual limit order book is centered (with the current best bid and ask prices acting as a central reference), and the patterns in the individual limit order books are identified using a Wasserstein distance. The method is illustrated using simulated limit order book data and limit order book data from a stock exchange in Canada.
|Original language||English (US)|
|State||Published - Dec 2022|
All Science Journal Classification (ASJC) codes
- Statistics and Probability
- Statistics, Probability and Uncertainty