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- W4385952032 abstract "We investigate the impact of order flow imbalance (OFI) on price movements in equity markets in a multi-asset setting. First, we propose a systematic approach for combining OFIs at the top levels of the limit order book into an integrated OFI variable which better explains price impact, compared to the best-level OFI. We show that once the information from multiple levels is integrated into OFI, multi-asset models with cross-impact do not provide additional explanatory power for contemporaneous impact compared to a sparse model without cross-impact terms. On the other hand, we show that lagged cross-asset OFIs do improve the forecasting of future returns. We also establish that this lagged cross-impact mainly manifests at short-term horizons and decays rapidly in time." @default.
- W4385952032 created "2023-08-18" @default.
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- W4385952032 date "2023-08-17" @default.
- W4385952032 modified "2023-10-17" @default.
- W4385952032 title "Cross-impact of order flow imbalance in equity markets" @default.
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- W4385952032 doi "https://doi.org/10.1080/14697688.2023.2236159" @default.
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