Enhancing trading strategies with order book signals

Álvaro Cartea, Ryan Donnelly, Sebastian Jaimungal · 2018 · Applied Mathematical Finance

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Volume imbalance predicts the arrival of market orders and price moves, and is built into optimal market-making and execution strategies.

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At a glance

Level: Advanced: Stochastic control, point processes, heavy econometrics or deep learning
Horizon: HFT
Data needed: L1 quotes Set what data you have
Themes: Order-flow alpha Market making Execution
Assets: Equities
Market: Global

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Short-term alpha from the order book

← Multi-Level Order-Flow Imbalance in a Limit Order BookDeep order flow imbalance: Extracting alpha at multiple horizons from the limit order book →

Cite

@article{cartea2018enhancing,
  author = {Cartea, Álvaro and Donnelly, Ryan and Jaimungal, Sebastian},
  title = {{Enhancing trading strategies with order book signals}},
  journal = {Applied Mathematical Finance},
  year = {2018},
  doi = {10.1080/1350486x.2018.1434009}
}

Cartea, Á., Donnelly, R., & Jaimungal, S. (2018). Enhancing trading strategies with order book signals. Applied Mathematical Finance. https://doi.org/10.1080/1350486x.2018.1434009