Order book price impact in the Chinese soybean futures market
研究全球最大豆粕期货市场中订单流对价格变化的影响，发现订单流不平衡比交易不平衡和成交量更能预测价格变动，但预测能力随时间减弱。
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.