Multi-Level Order-Flow Imbalance in a Limit Order Book

Ke Xu, Martin D. Gould, Sam D. Howison · 2018 · Market Microstructure and Liquidity

IntermediateHFTEmpiricalFree to read

Extends OFI beyond the touch. Deeper book levels add explanatory power for mid-price changes.

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At a glance

Level: Intermediate: Comfortable with statistics, regressions and basic probability models
Horizon: HFT
Data needed: L2 depth (every update) Set what data you have
Themes: Order-flow alpha
Assets: Equities
Market: US

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Short-term alpha from the order book

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Cite

@article{xu2018multi,
  author = {Xu, Ke and Gould, Martin D. and Howison, Sam D.},
  title = {{Multi-Level Order-Flow Imbalance in a Limit Order Book}},
  journal = {Market Microstructure and Liquidity},
  year = {2018},
  doi = {10.1142/s2382626619500114}
}

Xu, K., Gould, M. D., & Howison, S. D. (2018). Multi-Level Order-Flow Imbalance in a Limit Order Book. Market Microstructure and Liquidity. https://doi.org/10.1142/s2382626619500114