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Multi-Level Order-Flow Imbalance in a Limit Order Book

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arxiv 1907.06230 v2 pith:2ZUMDWSM submitted 2019-07-14 q-fin.TR q-fin.GNq-fin.ST

Ke Xu , Martin D. Gould , Sam D. Howison This is my paper · ORCID
classification q-fin.TRq-fin.GNq-fin.ST
keywords mlofiorder-flowbookimbalancelimitmulti-levelorderprice
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We study the multi-level order-flow imbalance (MLOFI), which is a vector quantity that measures the net flow of buy and sell orders at different price levels in a limit order book (LOB). Using a recent, high-quality data set for 6 liquid stocks on Nasdaq, we fit a simple, linear relationship between MLOFI and the contemporaneous change in mid-price. For all 6 stocks that we study, we find that the out-of-sample goodness-of-fit of the relationship improves with each additional price level that we include in the MLOFI vector. Our results underline how order-flow activity deep into the LOB can influence the price-formation process.

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Cited by 1 Pith paper

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  1. When Does Order Flow Matter? State-Dependent L2 Liquidity-State Transitions in Crypto Futures

    q-fin.TR 2026-07 conditional novelty 6.0 of 10

    In Binance BTC/ETH futures event windows, pre-event L2 liquidity state dominates post-event regime prediction; order flow helps only as an ETH-dominant, stress-amplified overlay.

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