Order book price impact in the Chinese soybean futures market

Muzhao Jin, Fearghal Kearney*, Youwei Li, Yung Chiang Yang

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

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.
Original languageEnglish
JournalInternational Journal of Finance & Economics
Publication statusAccepted - 03 Jan 2021

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