Construct · 1 fields · 1 citations

order imbalance: a standalone construct

One name. One construct. A landmark on the map.

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Market microstructure

the excess of buyer-initiated over seller-initiated trades, which moves prices and liquidity beyond what trading volume alone explains.

In market microstructure, order imbalance refers to the excess of buyer-initiated over seller-initiated trades, which moves prices and liquidity beyond what trading volume alone explains. This meaning comes from Chordia (2002) in Journal of Financial Economics.[1]

Unit
Recovery means
Measured by

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Nearby constructs

liquidity2 fields · 2 citationsjingle · one word, two constructs market3 fields · 5 citationsjingle · one word, three constructs order4 fields · 6 citationsjingle · one word, four constructs

References

Chordia, T., Roll, R., & Subrahmanyam, A. (2002). Order imbalance, liquidity, and market returns. Journal of Financial Economics, 65(1), 111-130. https://doi.org/10.1016/s0304-405x(02)00136-8

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