Cover Image

Returns and Order Flow Imbalances: Intraday Dynamics and Macroeconomic News Effects

Fuente: arXiv

Saved in:

Bibliographic Details
Main Author:	Takahashi, Makoto
Format:	Preprint
Published:	2025
Subjects:	Trading and Market Microstructure Econometrics
Online Access:	Acceder al recurso
Tags:	Add Tag No Tags, Be the first to tag this record!

Similar Items

Online Learning of Order Flow and Market Impact with Bayesian Change-Point Detection Methods
by: Tsaknaki, Ioanna-Yvonni, et al.
Published: (2023)

An Empirical Analysis of Scam Tokens on Ethereum Blockchain
by: Jeleskovic, Vahidin
Published: (2024)

A data-driven merit order: Learning a fundamental electricity price model
by: Ghelasi, Paul, et al.
Published: (2025)

Forecasting High Frequency Order Flow Imbalance
by: Anantha, Aditya Nittur, et al.
Published: (2024)

When is cross impact relevant?
by: Coz, Victor Le, et al.
Published: (2023)

Bellwether Trades: Characteristics of Trades influential in Predicting Future Price Movements in Markets
by: Ramdas, Tejas, et al.
Published: (2024)

On-chain Peak Shaving
by: Aldridge, Irene, et al.
Published: (2026)

The Subtle Interplay between Square-root Impact, Order Imbalance & Volatility II: An Artificial Market Generator
by: Maitrier, Guillaume, et al.
Published: (2025)

Quantifying Price Improvement in Order Flow Auctions
by: Bachu, Brad, et al.
Published: (2024)

Why is the estimation of metaorder impact with public market data so challenging?
by: Naviglio, Manuel, et al.
Published: (2025)

Impact of Volatility on Time-Based Transaction Ordering Policies
by: Ko, Sunghun, et al.
Published: (2025)

Comparative analysis of financial data differentiation techniques using LSTM neural network
by: Stempień, Dominik, et al.
Published: (2025)

Reinforcement Learning in High-frequency Market Making
by: Zheng, Yuheng, et al.
Published: (2024)

Algometrics: Forecasting Under Algorithmic Feedback
by: Schmitt, Marc
Published: (2026)

Technology Adoption and Network Externalities in Financial Systems: A Spatial-Network Approach
by: Kikuchi, Tatsuru
Published: (2026)

Trade Co-occurrence, Trade Flow Decomposition, and Conditional Order Imbalance in Equity Markets
by: Lu, Yutong, et al.
Published: (2022)

Sources and Nonlinearity of High Volume Return Premium: An Empirical Study on the Differential Effects of Investor Identity versus Trading Intensity (2020-2024)
by: Kang, Sungwoo
Published: (2025)

Which Voices Move Markets? Speaker Identity and the Cross-Section of Post-Earnings Returns
by: Sidhu, Karmanpartap Singh, et al.
Published: (2026)

Intraday Limit Order Price Change Transition Dynamics Across Market Capitalizations Through Markov Analysis
by: Luwang, Salam Rabindrajit, et al.
Published: (2026)

The Market Maker's Dilemma: Navigating the Fill Probability vs. Post-Fill Returns Trade-Off
by: Albers, Jakob, et al.
Published: (2025)

ClusterLOB: Enhancing Trading Strategies by Clustering Orders in Limit Order Books
by: Zhang, Yichi, et al.
Published: (2025)

Competition and Incentives in a Shared Order Book
by: Aïd, René, et al.
Published: (2025)

Optimizing Broker Performance Evaluation through Intraday Modeling of Execution Cost
by: Eisler, Zoltan, et al.
Published: (2024)

Bridging the Reality Gap in Limit Order Book Simulation
by: Noble, Patrick, et al.
Published: (2026)

A Novel Approach to Queue-Reactive Models: The Importance of Order Sizes
by: Bodor, Hamza, et al.
Published: (2024)

Trading Large Orders in the Presence of Multiple High-Frequency Anticipatory Traders
by: Xu, Ziyi, et al.
Published: (2024)

A Simple Strategy to Deal with Toxic Flow
by: Cartea, Álvaro, et al.
Published: (2025)

To Hedge or Not to Hedge: Optimal Strategies for Stochastic Trade Flow Management
by: Bergault, Philippe, et al.
Published: (2025)

Scaling Laws And Statistical Properties of The Transaction Flows And Holding Times of Bitcoin
by: Sornette, Didier, et al.
Published: (2024)

The Subtle Interplay between Square-root Impact, Order Imbalance & Volatility: A Unifying Framework
by: Maitrier, Guillaume, et al.
Published: (2025)

Intraday order transition dynamics in high, medium, and low market cap stocks: A Markov chain approach
by: Luwang, S. R., et al.
Published: (2025)

Dynamic Inventory Management with Mean-Field Competition
by: Donnelly, Ryan, et al.
Published: (2022)

Microstructure and Manipulation: Quantifying Pump-and-Dump Dynamics in Cryptocurrency Markets
by: Karbalaii, Mahya
Published: (2025)

Dynamic Collateral Control for Permissionless Spot Perpetual Basis Trading
by: Krestenko, Anatoly, et al.
Published: (2026)

Dynamic Grid Trading Strategy: From Zero Expectation to Market Outperformance
by: Chen, Kai-Yuan, et al.
Published: (2025)

A New Traders' Game? -- Empirical Analysis of Response Functions in a Historical Perspective
by: Schuhmann, Cedric, et al.
Published: (2025)

The Marginal Effects of Ethereum Network MEV Transaction Re-Ordering
by: Mizrach, Bruce, et al.
Published: (2025)

MM-DREX: Multimodal-Driven Dynamic Routing of LLM Experts for Financial Trading
by: Chen, Yang, et al.
Published: (2025)

Stochastic Price Dynamics in Response to Order Flow Imbalance: Evidence from CSI 300 Index Futures
by: Hu, Chen, et al.
Published: (2025)

Measuring DEX Efficiency and The Effect of an Enhanced Routing Method on Both DEX Efficiency and Stakeholders' Benefits
by: Zhang, Yu, et al.
Published: (2025)