Cross-impact of order flow imbalance in equity markets

Rama Cont, Mihai Cucuringu, Chao Zhang · 2023 · Quantitative Finance

AdvancedHFTIntradayEmpiricalFree to read

Multi-level OFI integrated across levels; cross-asset OFI adds little contemporaneously, but lagged cross-asset OFI helps forecast returns.

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At a glance

Level: Advanced: Stochastic control, point processes, heavy econometrics or deep learning
Horizon: HFT, Intraday
Data needed: L2 depth (every update) Set what data you have
Themes: Order-flow alpha Price impact
Assets: Equities
Market: US

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Short-term alpha from the order book

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Cite

@article{cont2023cross,
  author = {Cont, Rama and Cucuringu, Mihai and Zhang, Chao},
  title = {{Cross-impact of order flow imbalance in equity markets}},
  journal = {Quantitative Finance},
  year = {2023},
  doi = {10.1080/14697688.2023.2236159}
}

Cont, R., Cucuringu, M., & Zhang, C. (2023). Cross-impact of order flow imbalance in equity markets. Quantitative Finance. https://doi.org/10.1080/14697688.2023.2236159