Synopsis E-book: Are Supply and Demand Driving Stock Prices
This paper attempts to shed new light on price pressure in the stock market. I first defina a rigorous measure of order flow imbalance using limit order data. It turns out that this imbalance is highly correlated with stock returnsm with R2 around 50% for the average stick. This price impact of orders does not appear to be reversed later. Inf factm the correlation between order flow and return is observed for micro time intervals of ten minutes all the way to macro time intervals of three months. I then attempt to distinguish betwwen private information and uninformed price pressure by looking at the implications of a private information model. For idiosyncratic to be high, the R2 is indeed around 41%.
Preview Are Supply and Demand Driving Stock Prices.pdf
Download E-book Are Supply and Demand Driving Stock Prices
- FileName: Are Supply and Demand Driving Stock Prices
- Author: Carl Hopman
- Language: English
- Size: 315 kb | Remove!
- FileType: .pdf
- Dir.: Part9