Enhancing trading strategies with order book signals
Work
Year: 2018
Type: article
Abstract: We use high-frequency data from the Nasdaq exchange to build a measure of volume imbalance in the limit order (LO) book. We show that our measure is a good predictor of the sign of the next market ord... more
Source: Applied Mathematical Finance
Institutions University of Oxford, Swiss Finance Institute, École Polytechnique Fédérale de Lausanne, University of Toronto
Cites: 13
Cited by: 89
Related to: 10
FWCI: 12.3
Citation percentile (by year/subfield): 99.99
Subfield: Management Information Systems
Domain: Social Sciences
Open Access status: green