Search Results for: Order Imbalance And Returns

We focus on an intuitive measure of trading activity: the aggregate daily order imbalance, buy orders less sell orders, on the NYSE. Order imbalance increases f

The paper explores the lead-lag relationship between the variables of order imbalance and return in futures and spot markets. Order imbalance is defined as the

This paper studies the relation between order imbalances and daily returns of individual stocks. Our tests are motivated by a theoretical framework, whose disti

A fully revised second edition of the best guide to high-frequency trading High-frequency trading is a difficult, but profitable, endeavor that can generate sta

The globalization of financial markets motivates plenty of non-U.S. companies listing their shares on the U.S. exchanges. Following Eun and Sabherwal (2003), we