Sökning: "Jamil Al-Najjar"

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  1. 1. The Next Tick on Nasdaq Stockholm: Predicting Price Direction in Limit Order Books Using Order Imbalance

    D-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Författare :Jamil Al-Najjar; Julian Kramer; [2019]
    Nyckelord :high frequency trading; limit order books; order imbalance; price prediction;

    Sammanfattning : We explore complete Level II limit order books for eight stocks listed on Nasdaq Stockholm during 2016 and investigate the use of the imbalance between bid and ask volumes in predicting the direction of price change in an ultra-high-frequency environment. Specifically, we test whether a top-of-the-book (Level I) measure of order imbalance and a deeper-in-the-book (Level II) measure can predict the direction of a change in the mid-price of a security for up to three events before the change occurs. LÄS MER