Effect of order flow imbalance on market impact across market states

2016 IEEE Systems and Information Engineering Design Symposium (SIEDS) ◽

10.1109/sieds.2016.7489318 ◽

2016 ◽

Author(s):

Andrew Kromkowski ◽

Mason Montgomery ◽

Kaustav Saha ◽

Feiyin Wu ◽

Peter Beling

Keyword(s):

Market Impact ◽

Download Full-text

Market impact as anticipation of the order flow imbalance

Quantitative Finance ◽

10.1080/14697688.2015.1013148 ◽

2015 ◽

Vol 15 (7) ◽

pp. 1123-1135 ◽

Author(s):

Thibault Jaisson

Keyword(s):

Market Impact ◽

Download Full-text

Market Impact in Trader-agents: Adding Multi-level Order-flow Imbalance-sensitivity to Automated Trading Systems

Proceedings of the 13th International Conference on Agents and Artificial Intelligence ◽

10.5220/0010391004260436 ◽

2021 ◽

Author(s):

Zhen Zhang ◽

Dave Cliff

Keyword(s):

Market Impact ◽

Trading Systems ◽

Flow Imbalance ◽

Multi Level ◽

Download Full-text

Empirical Study of Market Impact Conditional on Order-Flow Imbalance

SSRN Electronic Journal ◽

10.2139/ssrn.3589220 ◽

2019 ◽

Author(s):

Anastasia Bugaenko

Keyword(s):

Empirical Study ◽

Market Impact ◽

Download Full-text

Market Impact in Trader-Agents: Adding Multi-Level Order-Flow Imbalance-Sensitivity to Automated Trading Systems

SSRN Electronic Journal ◽

10.2139/ssrn.3823356 ◽

2020 ◽

Author(s):

Zhen Zhang ◽

Dave Cliff

Keyword(s):

Market Impact ◽

Trading Systems ◽

Flow Imbalance ◽

Multi Level ◽

Download Full-text

High-frequency Statistical Arbitrage Strategy Based on Stationarized Order Flow Imbalance

Procedia Computer Science ◽

10.1016/j.procs.2021.04.093 ◽

2021 ◽

Vol 187 ◽

pp. 518-523

Author(s):

Qingxue Wang ◽

Bin Teng ◽

Qi Hao ◽

Yufeng Shi

Keyword(s):

High Frequency ◽

Statistical Arbitrage ◽

Flow Imbalance ◽

Arbitrage Strategy

Download Full-text

Daily investor sentiment, order flow imbalance and stock liquidity: evidence from the Chinese stock market

International Journal of Finance & Economics ◽

10.1002/ijfe.2402 ◽

2020 ◽

Author(s):

Haiyuan Yin ◽

Xingying Wu ◽

Sophie X Kong

Keyword(s):

Stock Market ◽

Investor Sentiment ◽

Chinese Stock Market ◽

Stock Liquidity ◽

Download Full-text

Modeling high-frequency order flow imbalance by functional limit theorems for two-sided risk processes

Applied Mathematics and Computation ◽

10.1016/j.amc.2014.12.085 ◽

2015 ◽

Vol 253 ◽

pp. 224-241 ◽

Author(s):

V.Yu. Korolev ◽

A.V. Chertok ◽

A.Yu. Korchagin ◽

A.I. Zeifman

Keyword(s):

High Frequency ◽

Limit Theorems ◽

Functional Limit ◽

Functional Limit Theorems ◽

Flow Imbalance ◽

Download Full-text

Deep Order Flow Imbalance: Extracting Alpha at Multiple Horizons from the Limit Order Book

SSRN Electronic Journal ◽

10.2139/ssrn.3900141 ◽

2021 ◽

Author(s):

Petter N. Kolm ◽

Jeremy Turiel ◽

Nicholas Westray

Keyword(s):

Limit Order Book ◽

Limit Order ◽

Download Full-text

Multi-Asset Market Impact and Order Flow Commonality

SSRN Electronic Journal ◽

10.2139/ssrn.3706390 ◽

2020 ◽

Author(s):

Francesco Capponi ◽

Rama Cont

Keyword(s):

Asset Market ◽

Download Full-text

Modeling High-Frequency Order Flow Imbalance by Functional Limit Theorems for Two-Sided Risk Processes

SSRN Electronic Journal ◽

10.2139/ssrn.2526053 ◽

2014 ◽

Author(s):

Victor Korolev ◽

Andrey Chertok ◽

Alexander Korchagin ◽

Alexander Zeifman

Keyword(s):

High Frequency ◽

Limit Theorems ◽

Functional Limit ◽

Functional Limit Theorems ◽

Flow Imbalance ◽

Download Full-text