Cross-impact of order flow imbalance in equity markets
We investigate the impact of order flow imbalance (OFI) on price movements in equity markets in a multi-asset setting. First, we propose a systematic approach for combining OFIs at the top levels of the limit order book into an integrated OFI variable which better explains price impact, compared to...
| Main Authors: | , , |
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| Format: | Journal article |
| Language: | English |
| Published: |
Taylor and Francis
2023
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