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Empirical Study of Market Impact Conditional on Order-Flow Imbalance

https://doi.org/10.2139/ssrn.3589220
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What this work says

Outgoing claims: the papers this work cites, builds on, or argues with.

inferredcites →https://doi.org/10.1002/9781118673553.ch6openalex-extracted
Limit Order Flow, Market Impact, and Optimal Order Sizes: Evidence from NASDAQ TotalView‐ITCH Data
inferredcites →https://doi.org/10.1007/s11579-012-0087-0openalex-extracted
Dealing with the inventory risk: a solution to the market making problem
inferredcites →https://doi.org/10.1016/0304-405x(85)90044-3openalex-extracted
Bid, ask and transaction prices in a specialist market with heterogeneously informed traders
inferredcites →https://doi.org/10.1016/0304-405x(86)90060-7openalex-extracted
Insiders' profits, costs of trading, and market efficiency
inferredcites →https://doi.org/10.1016/b978-012374258-2.50006-3openalex-extracted
How Markets Slowly Digest Changes in Supply and Demand
inferredcites →https://doi.org/10.1016/j.finmar.2012.09.001openalex-extracted
Optimal trading strategy and supply/demand dynamics
inferredcites →https://doi.org/10.1016/s1386-4181(97)00012-8openalex-extracted
Optimal control of execution costs
inferredcites →https://doi.org/10.1073/pnas.0409157102openalex-extracted
The predictive power of zero intelligence in financial markets
inferredcites →https://doi.org/10.1080/01621459.2014.982278openalex-extracted
Simulating and Analyzing Order Book Data: The Queue-Reactive Model
inferredcites →https://doi.org/10.1080/14697680500244411openalex-extracted
Order book approach to price impact
inferredcites →https://doi.org/10.1080/14697680701381228openalex-extracted
High-frequency trading in a limit order book
inferredcites →https://doi.org/10.1080/14697688.2013.803148openalex-extracted
Limit order books
inferredcites →https://doi.org/10.1080/14697688.2015.1040056openalex-extracted
A fully consistent, minimal model for non-linear market impact
inferredcites →https://doi.org/10.1088/1469-7688/3/6/307openalex-extracted
Statistical theory of the continuous double auction
inferredcites →https://doi.org/10.1093/rfs/hhn098openalex-extracted
Market Liquidity and Funding Liquidity
inferredcites →https://doi.org/10.1103/physreve.80.066102openalex-extracted
Market impact and trading profile of hidden orders in stock markets
inferredcites →https://doi.org/10.1103/physreve.89.042805openalex-extracted
Agent-based models for latent liquidity and concave price impact
inferredcites →https://doi.org/10.1111/j.1540-6261.1976.tb01907.xopenalex-extracted
ON THE EFFICIENCY OF COMPETITIVE STOCK MARKETS WHERE TRADES HAVE DIVERSE INFORMATION
inferredcites →https://doi.org/10.1111/j.1540-6261.1976.tb01965.xopenalex-extracted
INSIDERS AND MARKET EFFICIENCY
inferredcites →https://doi.org/10.1142/10739openalex-extracted
Market Microstructure in Practice
inferredcites →https://doi.org/10.1142/s2382626615500045openalex-extracted
Beyond the Square Root: Evidence for Logarithmic Dependence of Market Impact on Size and Participation Rate
inferredcites →https://doi.org/10.1201/9781584888949openalex-extracted
Understanding Risk
inferredcites →https://doi.org/10.1287/opre.1090.0780openalex-extracted
A Stochastic Model for Order Book Dynamics
inferredcites →https://doi.org/10.1371/journal.pone.0150243openalex-extracted
Predicting Market Impact Costs Using Nonparametric Machine Learning Models
inferredcites →https://doi.org/10.21314/jor.2001.041openalex-extracted
Optimal execution of portfolio transactions
inferredcites →https://doi.org/10.2139/ssrn.1977207openalex-extracted
LOBSTER: Limit Order Book Reconstruction System
inferredcites →https://doi.org/10.2307/1913210openalex-extracted
Continuous Auctions and Insider Trading
inferredcites →https://doi.org/10.2307/2297551openalex-extracted
Informed Speculation with Imperfect Competition
inferredcites →https://doi.org/10.2469/faj.v39.n3.39openalex-extracted
Trading Cost: The Critical Link Between Investment Information and Results
inferredcites →https://doi.org/10.3982/ecta10486openalex-extracted
Market Microstructure Invariance: Empirical Hypotheses
inferredcites →https://doi.org/10.1080/14697688.2010.528444openalex-snapshot
The price impact of order book events: market orders, limit orders and cancellations
inferredcites →https://doi.org/10.1080/14697688.2017.1296177openalex-snapshot
Latency and liquidity provision in a limit order book

What points at this work

Incoming claims: where this work appears in other papers’ reference lists and arguments.

inferred← citeshttps://doi.org/10.1007/s10479-026-07309-4openalex-snapshot
Information content of cross-sectional and multilevel order flow imbalances: A Bayesian approach
inferred← citeshttps://doi.org/10.1111/mafi.12413openalex-snapshot
Deep order flow imbalance: Extracting alpha at multiple horizons from the limit order book
inferred← citeshttps://doi.org/10.2139/ssrn.4004403openalex-snapshot
Market Impact of Small Orders
inferred← citeshttps://doi.org/10.2139/ssrn.4770476openalex-snapshot
Improving Deep Learning of Alpha Term Structures from the Order Book
inferred← citeshttps://doi.org/10.2139/ssrn.5379395openalex-snapshot
ONLINE SUPPLEMENT -- Deep Learning Alpha Signals from Limit Order Books: Practical Insights and Lessons Learned (Main Article Published at Risk.net)
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