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Queue Imbalance as a One-Tick-Ahead Price Predictor in a Limit Order Book

https://doi.org/10.2139/ssrn.2702117
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20/20 checkable references clean · checked 2026-08-03

Every reference with a DOI in the deposited reference list resolved to a known work in Crossref or DataCite at the dated check, and none carried a retraction, withdrawal, or removal notice.

5 without a DOI — not checked. A reference deposited without a DOI is never matched by title or guessed at; it stays outside the checked set, and this line discloses that.

The 20 checked references that resolve
resolves10.2139/ssrn.2689916
Strategic Liquidity Provision in a Limit Order Book
resolves10.1016/b978-012374258-2.50006-3
How Markets Slowly Digest Changes in Supply and Demand
resolves10.1016/s0031-3203(96)00142-2
The use of the area under the ROC curve in the evaluation of machine learning algorithms
resolves10.1002/fut.20334
The information content of an open limit‐order book
resolves10.1080/14697688.2010.539248
Econophysics review: I. Empirical facts
resolves10.1080/713665670
Empirical properties of asset returns: stylized facts and statistical issues
resolves10.1137/110856605
Price Dynamics in a Markovian Limit Order Market
resolves10.1287/opre.1090.0780
A Stochastic Model for Order Book Dynamics
resolves10.1073/pnas.0409157102
The predictive power of zero intelligence in financial markets
resolves10.1080/14697680600668048
Market efficiency and the long-memory of supply and demand: is price impact variable and permanent or fixed and temporary?
resolves10.1103/physreve.88.032809
Fokker-Planck description for the queue dynamics of large tick stocks
resolves10.1080/14697688.2013.803148
Limit order books
resolves10.1148/radiology.143.1.7063747
The meaning and use of the area under a receiver operating characteristic (ROC) curve.
resolves10.1007/978-0-387-21606-5_14
Unsupervised Learning
resolves10.1002/0471722146
Applied Logistic Regression
resolves10.1080/01621459.2014.982278
Simulating and Analyzing Order Book Data: The Queue-Reactive Model
resolves10.1016/j.jedc.2007.01.025
An empirical behavioral model of liquidity and volatility
resolves10.1093/rfs/hhp011
A Dynamic Model of the Limit Order Book
resolves10.1088/1469-7688/3/6/307
Statistical theory of the continuous double auction
resolves10.2139/ssrn.2653149
A Reduced-Form Model for Level-1 Limit Order Books
The 5 references without a DOI — listed, not checked
no DOI — not checkedref1
no DOI — not checkedref6
no DOI — not checkedref19
no DOI — not checkedGeneralized Linear Models
no DOI — not checkedref24
What this badge says. CiteStamped means the CHECKABLE references of this work were clean at the dated check: each resolved to a known work in a public registry, and none carried a retraction notice at that time. It says nothing about the quality, findings, or importance of the work itself, and nothing about references deposited without a DOI.

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