2021
DOI: 10.1002/ijfe.2439
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Order book price impact in the Chinese soybean futures market

Abstract: We study the price impact of order flow in the world's largest soybean meal futures markets. Our intraday results indicate that incoming orders can be used to explain and predict future price changes. Our results are shown to be robust to various order flow measures, price aggregation approaches and data frequencies. We find that order flow imbalance (OFI) is a more allencompassing measure carrying greater information about price change relative to both trade imbalance (TI) and volume. Moreover, while both OFI… Show more

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References 49 publications
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