Queue Imbalance as a One-Tick-Ahead Price Predictor in a Limit Order Book

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 this question both in the context of a simple binary classifier, which seeks to predict the direction of the next mid-pri...

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Bibliographische Detailangaben

Hauptverfasser:	Gould, Martin D, Bonart, Julius
Format:	Artikel
Sprache:	eng
Schlagworte:	Quantitative Finance - Trading and Microstructure
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