scholarly journals Price Impact of Order Flow Imbalance: Multi-level, Cross-sectional and Forecasting

2021 ◽  
Author(s):  
Rama Cont ◽  
Mihai Cucuringu ◽  
Chao Zhang
Keyword(s):  
Price Impact ◽  
Order Flow ◽  
Cross Sectional ◽  
Flow Imbalance ◽  
Multi Level

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

2019 ◽  
Author(s):  
Ke Xu ◽  
Martin Gould ◽  
Sam Howison
Keyword(s):  
Limit Order Book ◽  
Order Book ◽  
Order Flow ◽  
Limit Order ◽  
Flow Imbalance ◽  
Multi Level ◽  
Level Order

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

2021 ◽  
Vol 187 ◽  
pp. 518-523
Author(s):  
Qingxue Wang ◽  
Bin Teng ◽  
Qi Hao ◽  
Yufeng Shi
Keyword(s):  
High Frequency ◽  
Order Flow ◽  
Statistical Arbitrage ◽  
Flow Imbalance ◽  
Arbitrage Strategy

scholarly journals Market impact as anticipation of the order flow imbalance

2015 ◽  
Vol 15 (7) ◽  
pp. 1123-1135 ◽  
Author(s):  
Thibault Jaisson
Keyword(s):  
Order Flow ◽  
Market Impact ◽  
Flow Imbalance

Estimating Multi-Level Discrete-Time Hazard Models Using Cross-Sectional Data: Neighborhood Effects on the Onset of Adolescent Cigarette Use

2002 ◽  
Vol 37 (3) ◽  
pp. 297-330 ◽  
Author(s):  
Sean F. Reardon ◽  
Robert T. Brennan ◽  
Stephen L. Buka
Keyword(s):  
Discrete Time ◽  
Neighborhood Effects ◽  
Hazard Models ◽  
Cigarette Use ◽  
Cross Sectional ◽  
Multi Level
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