Multi-level order-flow imbalance in a limit order book

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...

Disgrifiad llawn

Manylion Llyfryddiaeth
Prif Awduron:	Xu, K, Gould, MD, Howison, SD
Fformat:	Journal article
Iaith:	English
Cyhoeddwyd:	World Scientific Publishing 2020

Eitemau Tebyg

Quasi-Centralized Limit Order Books
gan: Gould, MD, et al.
Cyhoeddwyd: (2015)

Limit Order Books
gan: Gould, MD, et al.
Cyhoeddwyd: (2010)

Quasi-centralized limit order books
gan: Howison, S, et al.
Cyhoeddwyd: (2017)

The long memory of order flow in the foreign exchange spot market
gan: Gould, M, et al.
Cyhoeddwyd: (2016)

Cross-impact of order flow imbalance in equity markets
gan: Cont, R, et al.
Cyhoeddwyd: (2023)

Linnet: limit order books within switches
gan: Hong, X, et al.
Cyhoeddwyd: (2022)

Forecasting Quoted Depth With the Limit Order Book
gan: Daniel Libman, et al.
Cyhoeddwyd: (2021-05-01)

Cancellation and uncertainty aversion on limit order books
gan: Large, J
Cyhoeddwyd: (2004)

Analysis and modeling of client order flow in limit order markets
gan: Cont, R, et al.
Cyhoeddwyd: (2023)

A limit order book model for latency arbitrage
gan: Cohen, SN, et al.
Cyhoeddwyd: (2012)

A limit order book model for latency arbitrage
gan: Cohen, SN, et al.
Cyhoeddwyd: (2011)

Impact of High-Frequency Trading with an Order Book Imbalance Strategy on Agent-Based Stock Markets
gan: Isao Yagi, et al.
Cyhoeddwyd: (2023-01-01)

LOBIN: in-network machine learning for limit order books
gan: Hong, X, et al.
Cyhoeddwyd: (2023)

Order book, order flow and returns: evidence from the Brazilian stock exchange
gan: Michel Alexandre, et al.
Cyhoeddwyd: (2018-08-01)

Transparency & Quality: The Impact of Increasing Limit Order Book levels on Tehran Stock Exchange
gan: Mahdi Heidari, et al.
Cyhoeddwyd: (2018-11-01)

Trade co-occurrence, trade flow decomposition, and conditional order imbalance in equity markets
gan: Lu, Y, et al.
Cyhoeddwyd: (2024)

Trade co-occurrence, trade flow decomposition, and conditional order imbalance in equity markets
gan: Lu, Y, et al.
Cyhoeddwyd: (2022)

Investigating the Impact of Order Flow Imbalance and Information Asymmetry on Treasury Bill Price Changes
gan: Ali Namaki, et al.
Cyhoeddwyd: (2024-06-01)

Analysis of order book and order flow : evidence on the stock exchange of Thailand in 1997 crisis
gan: Charoenwong, Charlie, et al.
Cyhoeddwyd: (2008)

Studies of the limit order book around large price changes
gan: Toth, B, et al.
Cyhoeddwyd: (2009)

The Relation between Intraday Limit Order Book Depth and Spread
gan: Alexandre Aidov, et al.
Cyhoeddwyd: (2021-11-01)

Multivariate General Compound Point Processes in Limit Order Books
gan: Qi Guo, et al.
Cyhoeddwyd: (2020-09-01)

Studies of the limit order book around large price changes
gan: Toth, B, et al.
Cyhoeddwyd: (2009)

Tick Size and Price Reversal after Order Imbalance
gan: Espen Sirnes, et al.
Cyhoeddwyd: (2021-03-01)

Order imbalance and commonality: Evidence from the options market
gan: John Omole, et al.
Cyhoeddwyd: (2022-01-01)

A Market-Clearing Role for Inefficiency on a Limit Order Book.
gan: Large, J
Cyhoeddwyd: (2008)

Spoofing the Limit Order Book: A Strategic Agent-Based Analysis
gan: Xintong Wang, et al.
Cyhoeddwyd: (2021-05-01)

Trading strategies of institutional investors in a limit order book market
gan: chen Naiwei, et al.
Cyhoeddwyd: (2016-01-01)

DeepLOB: Deep convolutional neural networks for limit order books
gan: Zhang, Z, et al.
Cyhoeddwyd: (2019)

Impact Of Foreign And Domestic Order Imbalances On Return And Volatilityvolume Relation
gan: Ekaputra, Irwan Adi
Cyhoeddwyd: (2014)

An analysis of intraday return - order imbalance relation to stealth trading
gan: Han-Ching Huang
Cyhoeddwyd: (2011-04-01)

Impact of delay on the formation of high-order interactions and structural imbalance
gan: Siboni, M. H. Hakimi, et al.
Cyhoeddwyd: (2025)

A stochastic partial differential equation model for limit order book dynamics
gan: Cont, R, et al.
Cyhoeddwyd: (2021)

Predicting Stock Price Changes Based on the Limit Order Book: A Survey
gan: Ilia Zaznov, et al.
Cyhoeddwyd: (2022-04-01)

A Signature Transform of Limit Order Book Data for Stock Price Prediction
gan: Thendo Sidogi, et al.
Cyhoeddwyd: (2023-01-01)

Modelling Trades-Through in a Limit Order Book Using Hawkes Processes
gan: Ioane Muni Toke, et al.
Cyhoeddwyd: (2012-06-01)

Modelling Trades-Through in a Limited Order Book Using Hawkes Processes
gan: Ioane Muni Toke, et al.
Cyhoeddwyd: (2011-08-01)

Optimal order placement in limit order markets
gan: Cont, R, et al.
Cyhoeddwyd: (2016)

High-Frequency Trading with Machine Learning Algorithms and Limit Order Book Data
gan: Manveer Kaur Mangat, et al.
Cyhoeddwyd: (2022-12-01)

Do cats and dogs eat grass before a rain? Analysis of weather effects on order submissions and order imbalances
gan: Matthew C. Chang
Cyhoeddwyd: (2013-12-01)