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Cross-impact of order flow imbalance in equity markets
16 references·0 citing·44 second hop
Cross-impact of order flow imbalance in equity markets (2023)Cross-impact of order flow imbalance in e…Empirical Asset Pricing via Machine Learning (2020)Empirical Asset Pricing via M…Deep neural networks, gradient-boosted trees, random forests: Statistical arbitrage on the S&P 500 (2016)Deep neural networks, gradien…The Price Impact of Order Book Events (2013)The Price Impact of Order Boo…Market Segmentation and Cross‐predictability of Returns (2010)Market Segmentation and Cross…Dominating Clasp of the Financial Sector Revealed by Partial Correlation Analysis of the Stock Market (2010)Dominating Clasp of the Finan…Statistical Arbitrage in the U.S. Equities Market (2008)Statistical Arbitrage in the …Economic Links and Predictable Returns (2008)Economic Links and Predictabl…A Simple Approximate Long-Memory Model of Realized Volatility (2008)A Simple Approximate Long-Mem…Industry Information Diffusion and the Lead-lag Effect in Stock Returns (2007)Industry Information Diffusio…Tests of Conditional Predictive Ability (2006)Tests of Conditional Predicti…Order imbalance and individual stock returns: Theory and evidence (2003)Order imbalance and individua…Master curve for price-impact function (2003)Master curve for price-impact…Order imbalance, liquidity, and market returns (2002)Order imbalance, liquidity, a…Common factors in prices, order flows, and liquidity (2001)Common factors in prices, ord…Continuous Auctions and Insider Trading (1985)Continuous Auctions and Insid…Comovements in Stock Prices in the Very Short Run (1979)Comovements in Stock Prices i…A BEHAVIORAL MODEL OF RATIONAL CHOICE (1955)Common risk factors in the returns on stocks and bonds (1993)On Persistence in Mutual Fund Performance (1997)The Media and the Diffusion of Information in Financial Markets: Evidence from Newspaper Strikes (2014)Short interest and aggregate stock returns (2016)An Augmented q -Factor Model with Expected Growth (2020)Risk, Return, and Equilibrium: Empirical Tests (1973)Comparing Predictive Accuracy (1994)Macroeconomic Forecasting Using Diffusion Indexes (2002)A Test for Superior Predictive Ability (2005)Large Bayesian vector auto regressions (2009)Volatility forecast comparison using imperfect volatility proxies (2010)A long memory property of stock market returns and a new model (1993)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Modeling and Forecasting Realized Volatility (2003)Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility (2007)Tails, Fears, and Risk Premia (2011)Quantile Connectedness: Modeling Tail Behavior in the Topology of Financial Networks (2022)A Decision-Theoretic Generalization of On-Line Learning and an Application to Boosting (1997)A five-factor asset pricing model (2014)Ensemble approach based on bagging, boosting and stacking for short-term prediction in agribusiness time series (2019)Literature review: Machine learning techniques applied to financial market prediction (2019)Deep learning for financial applications : A survey (2020)The theory and practice of econometrics (1986)Inferring Trade Direction from Intraday Data (1991)Liquidity Risk and Expected Stock Returns (2001)An Empirical Analysis of Stock and Bond Market Liquidity (2004)Trading and Arbitrage in Cryptocurrency Markets (2018)Asset pricing and the bid-ask spread (1986)The Relation Between Price Changes and Trading Volume: A Survey (1987)Liquidity and Expected Returns: Lessons from Emerging Markets (2007)Liquidity and Market Efficiency (2007)Constraints on short-selling and asset price adjustment to private information (1987)Information Uncertainty and Stock Returns (2006)Forecasting Stock Returns (2013)Noise Trader Risk in Financial Markets (1990)Investor Psychology and Security Market Under‐ and Overreactions (1998)Illiquidity and stock returns: cross-section and time-series effects (2002)Driven to Distraction: Extraneous Events and Underreaction to Earnings News (2009)Investor Inattention and Friday Earnings Announcements (2009)Investor Sentiment Aligned: A Powerful Predictor of Stock Returns (2014)Artificial intelligence and machine learning in finance: Identifying foundations, themes, and research clusters from bibliometric analysis (2021)Machine learning advances for time series forecasting (2021)Machine learning in the Chinese stock market (2021)
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References

  • 1985Continuous Auctions and Insider Trading9,626 cited
  • 2020Empirical Asset Pricing via Machine Learning2,528 cited
  • 2008A Simple Approximate Long-Memory Model of Realized Volatility2,526 cited
  • 2006Tests of Conditional Predictive Ability1,667 cited
  • 2008Economic Links and Predictable Returns1,411 cited
  • 2001Common factors in prices, order flows, and liquidity1,067 cited
  • 2002Order imbalance, liquidity, and market returns914 cited
  • 2016Deep neural networks, gradient-boosted trees, random forests: Statistical arbitrage on the S&P 500749 cited
  • 2007Industry Information Diffusion and the Lead-lag Effect in Stock Returns603 cited
  • 2010Market Segmentation and Cross‐predictability of Returns576 cited
  • 2003Order imbalance and individual stock returns: Theory and evidence571 cited
  • 1979Comovements in Stock Prices in the Very Short Run464 cited
  • 2003Master curve for price-impact function453 cited
  • 2008Statistical Arbitrage in the U.S. Equities Market375 cited
  • 2010Dominating Clasp of the Financial Sector Revealed by Partial Correlation Analysis of the Stock Market362 cited

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2013
The Price Impact of Order Book Events
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