I have an access to the order book from stock market and i am interested in finding an anomalous behaviour.
What are the known methods, algorithms for detecting big orders or other activities of smart money?
I have built a program in python that plots a graph of all the order sizes from the order book. For instance when the price drops and i see a big buying order, then i know that this order is given by a big player. However i do this by eye and i would like to have a more accurate method. Are there any papers about this topic?
Thank you for help.
