38 citations · 75 across the 8 of their papers we have counts for
Showing 2015 · q-fin.TRShow all
2 papers · 2 filters
q-fin.TR2015
Queue Imbalance as a One-Tick-Ahead Price Predictor in a Limit Order Book
Martin D. Gould, Julius Bonart
We investigate whether the bid/ask queue imbalance in a limit order book (LOB) provides significant predictive power for the direction of the next mid-price movement. We consider t…
q-fin.TR2015
Latency and liquidity provision in a limit order book
Julius Bonart, Martin Gould
We use a recent, high-quality data set from Nasdaq to perform an empirical analysis of order flow in a limit order book (LOB) before and after the arrival of a market order. For ea…