Order flow imbalance can be modeled as a mean-reverting Levy-driven shock to the price drift, giving closed-form mean and variance for future log returns.
Order imbalance based strategy in high frequency trading
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Stochastic Price Dynamics in Response to Order Flow Imbalance: Evidence from CSI 300 Index Futures
Order flow imbalance can be modeled as a mean-reverting Levy-driven shock to the price drift, giving closed-form mean and variance for future log returns.