Corpus ID: 73640005

Order Imbalance Based Strategy in High Frequency Trading Candidate Number : 275571

@inproceedings{Wang2015OrderIB,
  title={Order Imbalance Based Strategy in High Frequency Trading Candidate Number : 275571},
  author={Zhaodong Wang},
  year={2015}
}
This thesis aims to investigate the performance of an order imbalance based trading strategy in a high frequency setting. We first analyze the statistical properties of order imbalance and investigate its capabilities as a trading strategy motivated by ideas introduced in [4, 7, 11]. We try to understand how the strategy performs on different futures contracts and its relationship with trading volume. Finally, we attempt to improve the trading strategy by including other imbalance-based signals… Expand