Abstract:We propose a new linear model to explain the price move by Level-2 high-frequency data in Chinese mainland stock market. In Chinese stock market, the cancellation ratio is very low, and imbalanced order flow prevails most of the time in the trading periods. From time dimension viewpoint, we find the difference of efficiency of limit orders executed, respectively, in bid/ask limit order book, order execution imbalance (OEI), could improve the classic model of Cont et al. (2014) based on market microstructure of… Show more
Set email alert for when this publication receives citations?
scite is a Brooklyn-based organization that helps researchers better discover and understand research articles through Smart Citations–citations that display the context of the citation and describe whether the article provides supporting or contrasting evidence. scite is used by students and researchers from around the world and is funded in part by the National Science Foundation and the National Institute on Drug Abuse of the National Institutes of Health.