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An Empirical and Theoretical Study of Order Imbalance and Price Behavior

Author: SunYongLiang
Tutor: WangChunFeng
School: Tianjin University
Course: Finance
Keywords: Order flow imbalance Long Memory Knock-on effects Volatility forecast Trading Strategy
CLC: F830.91
Type: Master's thesis
Year: 2007
Downloads: 111
Quote: 0
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Abstract


Asset price behavior has been the core of the research in the field of micro-market structure research. Stock, for example, the stock price by fundamental news from listed companies, but also by the impact of different kinds of \Some of this information truthfully reflect future stock price movements in the direction of some information is human or mechanism of spontaneous imposed on the stock market \special trading behavior. The information is \In this case, if there is an indicator to reflect this information, in a sense, you can observe the impact of information on prices. This paper first to introduce and order flow imbalance this indicator, from an empirical perspective to examine the order flow imbalance in China's stock market on the long-term stock price behavior, predictable, and this phenomenon is in accordance with the theory of asymmetric information framework given theoretical modeling analysis, the final order flow imbalance affirmed in volatility forecasts and trading strategies. The authors hope that the the rich micro market structure theory Through this research, the full text of the following structure: The first chapter of the order flow imbalance background. The second chapter of the order flow imbalance indicators introduced statistical methods, statistical characteristics. The third chapter of the basic theory of micro market structure review, to introduce the history of the financial market microstructure theory, basic concepts elaborated and proposed orders split model targeted for order flow imbalance theory explain. Chapter order flow imbalance time sequence characteristics: long-term memory, test the characteristics of the information implicit in the indicators, as well as the order flow imbalance volatility forecasting studies for feasibility preparation. Chapter empirical test the effect of the order flow imbalance impact on stock prices. Chapter VI of the order flow imbalance volatility forecasting and trading strategy design (VOID) prospects. Chapter VII is a summary and outlook to do this research work, the deficiencies highlighted in this article and future research directions.

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