The Price Impact of Order Book Events

Rama Cont, Arseniy Kukanov, Sasha Stoikov · 2014 · Journal of Financial Econometrics

IntermediateHFTEmpiricalFree to read

Order flow imbalance (OFI) at the best quotes explains short-horizon price changes linearly, with a slope inversely proportional to depth. The go-to HFT feature.

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At a glance

Level: Intermediate: Comfortable with statistics, regressions and basic probability models
Horizon: HFT
Data needed: L1 quotes 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{cont2014price,
  author = {Cont, Rama and Kukanov, Arseniy and Stoikov, Sasha},
  title = {{The Price Impact of Order Book Events}},
  journal = {Journal of Financial Econometrics},
  year = {2014},
  doi = {10.1093/jjfinec/nbt003}
}

Cont, R., Kukanov, A., & Stoikov, S. (2014). The Price Impact of Order Book Events. Journal of Financial Econometrics. https://doi.org/10.1093/jjfinec/nbt003