Cross-impact of order flow imbalance in equity markets
研究了多资产环境下订单流不平衡对价格变动的影响，发现整合多档位订单簿信息后，交叉影响对同期价格解释力有限，但滞后交叉影响能改善短期收益预测。
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.