Enhancing trading strategies with order book signals
We use high-frequency data from the Nasdaq exchange to build a measure of volume imbalance in the limit order (LO) book. We show that our measure is a good predictor of the sign of the next market order (MO), i.e., buy or sell, and also helps to predict price changes immediately after the arrival of...
| Main Authors: | , , |
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| Format: | Journal article |
| Published: |
Routledge
2018
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