Order book price impact in the Chinese soybean futures market

Jin, Muzhao; Kearney, Fearghal; Li, Youwei; Yang, Yung Chiang

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