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...

书目详细资料
Main Authors:	Xu, K, Gould, MD, Howison, SD
格式:	Journal article
语言:	English
出版:	World Scientific Publishing 2020

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