Multi-level order-flow imbalance in a limit order book
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 betwe...
| Main Authors: | , , |
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| Format: | Journal article |
| Language: | English |
| Published: |
World Scientific Publishing
2020
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