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

2021 ◽  
Author(s):  
Petter N. Kolm ◽  
Jeremy Turiel ◽  
Nicholas Westray
Keyword(s):  
Limit Order Book ◽  
Order Book ◽  
Order Flow ◽  
Limit Order ◽  
Flow Imbalance

scholarly journals Multi-Level Order-Flow Imbalance in a Limit Order Book

2018 ◽  
Vol 04 (03n04) ◽  
pp. 1950011
Author(s):  
Ke Xu ◽  
Martin D. Gould ◽  
Sam D. Howison
Keyword(s):  
Limit Order Book ◽  
Quality Data ◽  
Order Book ◽  
Order Flow ◽  
Limit Order ◽  
Data Set ◽  
Flow Imbalance ◽  
Multi Level ◽  
Flow Activity ◽  
Level Order

We study the multi-level order-flow imbalance (MLOFI), which is a vector quantity that measures the net flow of buy and sell orders at different price levels in a limit order book (LOB). Using a recent, high-quality data set for six liquid stocks on Nasdaq, we fit a simple, linear relationship between MLOFI and the contemporaneous change in mid-price. For all six stocks that we study, we find that the out-of-sample goodness-of-fit of the relationship improves with each additional price level that we include in the MLOFI vector. Our results underline how order-flow activity deep into the LOB can influence the price-formation process.

scholarly journals Analysis of Limit Order Book and Order Flow

2003 ◽  
Author(s):  
Charlie Charoenwong ◽  
Nuttawat Visaltanachoti ◽  
David K. Ding
Keyword(s):  
Limit Order Book ◽  
Order Book ◽  
Order Flow ◽  
Limit Order

An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse

1995 ◽  
Vol 50 (5) ◽  
pp. 1655-1689 ◽  
Author(s):  
BRUNO BIAIS ◽  
PIERRE HILLION ◽  
CHESTER SPATT
Keyword(s):  
Empirical Analysis ◽  
Limit Order Book ◽  
Order Book ◽  
Order Flow ◽  
Limit Order ◽  
Paris Bourse

scholarly journals Temporal logistic neural Bag-of-Features for financial time series forecasting leveraging limit order book data

2020 ◽  
Vol 136 ◽  
pp. 183-189 ◽  
Author(s):  
Nikolaos Passalis ◽  
Anastasios Tefas ◽  
Juho Kanniainen ◽  
Moncef Gabbouj ◽  
Alexandros Iosifidis
Keyword(s):  
Time Series ◽  
Financial Time Series ◽  
Limit Order Book ◽  
Time Series Forecasting ◽  
Order Book ◽  
Limit Order ◽  
Bag Of Features ◽  
Financial Time
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