Trade arrival dynamics and quote imbalance in a limit order book

Alexander Lipton, Umberto Pesavento, Michael G. Sotiropoulos · 2013 · arXiv preprint

IntermediateHFTEmpiricalFree to read

Quote imbalance at the touch predicts the direction of the next mid-price move. A short practitioner paper.

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At a glance

Level: Intermediate: Comfortable with statistics, regressions and basic probability models
Horizon: HFT
Data needed: L1 quotes, Trades Set what data you have
Themes: Order-flow alpha
Assets: Equities
Market: Global

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@misc{lipton2013trade,
  author = {Lipton, Alexander and Pesavento, Umberto and Sotiropoulos, Michael G.},
  title = {{Trade arrival dynamics and quote imbalance in a limit order book}},
  howpublished = {arXiv preprint},
  year = {2013},
  url = {https://arxiv.org/abs/1312.0514}
}

Lipton, A., Pesavento, U., & Sotiropoulos, M. G. (2013). Trade arrival dynamics and quote imbalance in a limit order book. arXiv preprint. https://arxiv.org/abs/1312.0514