Order book price impact in the Chinese soybean futures market

Jin, Muzhao, Kearney, Fearghal, Li, Youwei and Yang, Yung Chiang ORCID: 0000-0002-5844-4515 (2023) Order book price impact in the Chinese soybean futures market INTERNATIONAL JOURNAL OF FINANCE & ECONOMICS, 28 (1). pp. 606-625. ISSN 1076-9307, 1099-1158

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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.

Item Type:	Article
Uncontrolled Keywords:	futures market, limit order book, order flow imbalance, price impact
Divisions:	Faculty of Humanities & Social Sciences Faculty of Humanities & Social Sciences > School of Management
Depositing User:	Symplectic Admin
Date Deposited:	08 Jan 2025 15:04
Last Modified:	16 Jun 2026 05:03
DOI:	10.1002/ijfe.2439
Related Websites:	Author Publisher
URI:	https://livrepository.liverpool.ac.uk/id/eprint/3189553
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