scholarly journals The price impact asymmetry of institutional trading in the Chinese stock market

2012 ◽  
Vol 391 (8) ◽  
pp. 2667-2677 ◽  
Author(s):  
Fei Ren ◽  
Li-Xin Zhong
Keyword(s):  
Stock Market ◽  
Price Impact ◽  
Chinese Stock Market ◽  
Institutional Trading

scholarly journals The Price Impact of Order Book Events from a Dimension of Time

2021 ◽  
Vol 2021 ◽  
pp. 1-10
Author(s):  
Wentao Chi ◽  
Xuemei Zhao ◽  
Lufei Huang
Keyword(s):  
Stock Market ◽  
High Frequency ◽  
Time Window ◽  
Explanatory Power ◽  
Chinese Mainland ◽  
Price Impact ◽  
Order Book ◽  
Chinese Stock Market ◽  
Time Dimension ◽  
The Difference

We propose a new linear model to explain the price move by Level-2 high-frequency data in Chinese mainland stock market. In Chinese stock market, the cancellation ratio is very low, and imbalanced order flow prevails most of the time in the trading periods. From time dimension viewpoint, we find the difference of efficiency of limit orders executed, respectively, in bid/ask limit order book, order execution imbalance (OEI), could improve the classic model of Cont et al. (2014) based on market microstructure of Chinese mainland stock market. In particular, when market’s liquidity is booming, our model’s explanatory power and R-squared increased sharply. And the correlations of OEI are very high that may be exploited to predict the price move in the next time window for doing high-frequency trading.

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