Abstract
Intra-day data is very useful in terms of getting information about demand and supply in the market. In this study, I analyzed the effect on trade direction in the future by imbalance of order book information. As a result, it is indicated that imbalance explains the trade direction to the some extent.
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References
Min G. Lee, A.Oba, H.Takayasu,“Parameter Estimation of a Generalized Langevin Equation of Market Price”, Empirical Science of Financial Fluctuations: The Advent of Econophysics, Springer-Verlag Tokyo 2002
H.Takayasu, M.Takayasu, “Critical fluctuations of demand and supply”, Physica A 269(1999) 24–29
H.Takayasu, M.Takayasu, “Econophysics-Toward Scientific Reconstruction of Economy”, Nihon Keizai Shinbunsya 2001
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© 2004 Springer Japan
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Okita, G., Oba, A., Takayasu, H. (2004). Inferring of Trade Direction by Imbalance from Intra-Day Data. In: Takayasu, H. (eds) The Application of Econophysics. Springer, Tokyo. https://doi.org/10.1007/978-4-431-53947-6_17
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DOI: https://doi.org/10.1007/978-4-431-53947-6_17
Publisher Name: Springer, Tokyo
Print ISBN: 978-4-431-67961-5
Online ISBN: 978-4-431-53947-6
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