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Quantitative Finance · शब्दावली

Order-flow imbalance क्या है?

Definition 8.4 Research Craft: Predictors, Backtests, Measurement, Portfolios · अध्याय 8 — Order-Book Features

Let bn,qnb,an,qnab_n, q^b_n, a_n, q^a_n be the best bid, its size, the best ask and its size after the nn-th book event. The order-flow imbalance contribution of event nn is

en=1bn≥bn−1qnb−1bn≤bn−1qn−1b−1an≤an−1qna+1an≥an−1qn−1a,e_n = \mathbf 1_{b_n \ge b_{n-1}}q^b_n - \mathbf 1_{b_n \le b_{n-1}}q^b_{n-1} - \mathbf 1_{a_n \le a_{n-1}}q^a_n + \mathbf 1_{a_n \ge a_{n-1}}q^a_{n-1},

and the order-flow imbalance (OFI) over an interval is the sum of the ene_n in it (Cont, Kukanov and Stoikov, 2014).

Mid-price change over ten-second intervals against the interval’s order-flow imbalance, in twenty bins of equal count, with the regression line (slope 0.47 ticks per unit, R2 = 0.53 on the 1 078 intervals). Data: firm.tape through firm.lobfeat, seed 8.
Figure 8.3. Mid-price change over ten-second intervals against the interval’s order-flow imbalance, in twenty bins of equal count, with the regression line (slope 0.47 ticks per unit, R2=0.53R^2 = 0.53 on the 1 078 intervals). Data: firm.tape through firm.lobfeat, seed 8.
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