Muzhao Jin
Order book price impact in the Chinese soybean futures market
Jin, Muzhao; Kearney, Fearghal; Li, Youwei; Yang, Yung Chiang
Authors
Abstract
We study the price impact of order flow in the world's largest soybean meal futures markets. Our intraday results indicate that incoming orders can be used to explain and predict future price changes. Our results are shown to be robust to various order flow measures, price aggregation approaches and data frequencies. We find that order flow imbalance (OFI) is a more all‐encompassing measure carrying greater information about price change relative to both trade imbalance (TI) and volume. Moreover, while both OFI and TI are shown to predict future price changes, this predictability diminishes over longer measure and price change frequency horizons.
Citation
Jin, M., Kearney, F., Li, Y., & Yang, Y. C. (in press). Order book price impact in the Chinese soybean futures market. International journal of finance & economics : IJFE, https://doi.org/10.1002/ijfe.2439
Journal Article Type | Article |
---|---|
Acceptance Date | Dec 20, 2020 |
Online Publication Date | Jan 3, 2021 |
Deposit Date | Jan 4, 2021 |
Publicly Available Date | Jan 4, 2023 |
Journal | International Journal of Finance and Economics |
Print ISSN | 1076-9307 |
Publisher | Wiley |
Peer Reviewed | Peer Reviewed |
DOI | https://doi.org/10.1002/ijfe.2439 |
Keywords | Futures market; Limit order book; Order flow imbalance; Price impact |
Public URL | https://hull-repository.worktribe.com/output/3686767 |
Publisher URL | https://onlinelibrary.wiley.com/doi/10.1002/ijfe.2439 |
Files
Article
(1.5 Mb)
PDF
Copyright Statement
©2021 The authors. All rights reserved. No part of this publication may be reproduced without the written permission of the copyright holder
You might also like
Future of jobs in China under the impact of artificial intelligence
(2023)
Journal Article
The smog that hovers: Air pollution and asset prices
(2023)
Journal Article
The Asymmetric Overnight Return Anomaly in the Chinese Stock Market
(2022)
Journal Article
Competition or Authorization—Manufacturers’ Choice of Remanufacturing Strategies
(2022)
Journal Article
Downloadable Citations
About Repository@Hull
Administrator e-mail: repository@hull.ac.uk
This application uses the following open-source libraries:
SheetJS Community Edition
Apache License Version 2.0 (http://www.apache.org/licenses/)
PDF.js
Apache License Version 2.0 (http://www.apache.org/licenses/)
Font Awesome
SIL OFL 1.1 (http://scripts.sil.org/OFL)
MIT License (http://opensource.org/licenses/mit-license.html)
CC BY 3.0 ( http://creativecommons.org/licenses/by/3.0/)
Powered by Worktribe © 2024
Advanced Search