Paper Citation Record · LEDGER

Stochastic Price Dynamics in Response to Order Flow Imbalance: Evidence from CSI 300 Index Futures

As of 8 August 2026, this Paper Citation Record lists 31 of 31 outbound references and 1 inbound Pith citation observation for arXiv:2505.17388.

A citation records a reference. It does not transfer a finding from one paper to another.

pith.paper-citation-record.v1
2505.17388 v1

Coverage vector

measured 31 of 31 reference resolution

Typed states for the displayed outbound observations.

Source: paper_references, paper_reference_links, observed 2026-08-07T14:53:25.021006Z

measured 32 of 32 standing notices

One-hop event checks from named stored sources.

Source: scholarly_work_events, retraction_status_cache, observed 2026-08-08T06:32:00.761636+00:00

measured 1 of 1 inbound itemization

Pith citing papers itemized under the disclosed page cap.

Source: paper_references, paper_reference_links, observed 2026-07-13T04:32:38.469255Z

measured 1 of 1 external citation measurements

A source-named dated measurement, never combined with another source.

Source: pith, observed 2026-08-05T02:28:24.338817Z

Reference resolution

31 of 31 outbound references displayed

verified exact5
verified fuzzy23
unresolved3
parse uncertain0
malformed identifier0
metadata mismatch0

External citation measurements

0
pith, observed 2026-08-05T02:28:24.338817Z

Outbound references

Observation abd11708-ebe4-4966-9c2e-c724cf7777aa · outbound

This paper cites The price impact of order book events.

Stochastic Price Dynamics in Response to Order Flow Imbalance: Evidence from CSI 300 Index Futures The price impact of order book events

Reference 1

Resolution: verified fuzzy; raw_fallback, observed 2026-08-07T14:53:55.115539Z

Source-reported events for the cited work

No event found in the named queried sources as of 2026-08-08T06:32:00.761636+00:00.

Observation 1a5484f0-28c4-4701-a8cb-ac4ccb41164e · outbound

This paper cites Order imbalance based strategy in high frequency trading.

Stochastic Price Dynamics in Response to Order Flow Imbalance: Evidence from CSI 300 Index Futures Order imbalance based strategy in high frequency trading

Reference 2

Resolution: verified fuzzy; raw_fallback, observed 2026-08-07T14:53:54.961225Z

Source-reported events for the cited work

No event found in the named queried sources as of 2026-08-08T06:32:00.761636+00:00.

Observation c92d5240-6184-4e3c-b773-00e17463afa3 · outbound

This paper cites Cross-impact of order flow imbalance in equity markets.

Stochastic Price Dynamics in Response to Order Flow Imbalance: Evidence from CSI 300 Index Futures Cross-impact of order flow imbalance in equity markets

Reference 3

Resolution: verified fuzzy; raw_fallback, observed 2026-08-07T14:53:54.809740Z

Source-reported events for the cited work

No event found in the named queried sources as of 2026-08-08T06:32:00.761636+00:00.

Observation 5917bd27-f93f-4011-8faf-53b2a79951e1 · outbound

This paper cites Price dynamics in a Markovian limit order market.

Stochastic Price Dynamics in Response to Order Flow Imbalance: Evidence from CSI 300 Index Futures Price dynamics in a Markovian limit order market

Reference 4

Resolution: verified fuzzy; raw_fallback, observed 2026-08-07T14:53:54.679453Z

Source-reported events for the cited work

No event found in the named queried sources as of 2026-08-08T06:32:00.761636+00:00.

Observation 0fa66565-5990-4b6c-be7b-4711849a15a7 · outbound

This paper cites Order Book Dynamics in Liquid Markets: Limit Theorems and Diffusion Approximations.

Stochastic Price Dynamics in Response to Order Flow Imbalance: Evidence from CSI 300 Index Futures Order Book Dynamics in Liquid Markets: Limit Theorems and Diffusion Approximations

Reference 5

Resolution: verified fuzzy; raw_fallback, observed 2026-08-07T14:53:54.555897Z

Source-reported events for the cited work

No event found in the named queried sources as of 2026-08-08T06:32:00.761636+00:00.

Observation b4a691f9-3b03-4a88-97ef-f084c9b7af89 · outbound

This paper cites Optimal order placement in limit order markets.

Stochastic Price Dynamics in Response to Order Flow Imbalance: Evidence from CSI 300 Index Futures Optimal order placement in limit order markets

Reference 6

Resolution: verified fuzzy; raw_fallback, observed 2026-08-07T14:53:54.403873Z

Source-reported events for the cited work

No event found in the named queried sources as of 2026-08-08T06:32:00.761636+00:00.

Observation fe78d3bd-06a8-490f-8863-1a55b608788d · outbound

This paper cites an unresolved cited work.

Stochastic Price Dynamics in Response to Order Flow Imbalance: Evidence from CSI 300 Index Futures Unresolved cited work

Reference 7

Resolution: unresolved; raw_fallback, observed 2026-08-07T14:53:54.154930Z

Source-reported events for the cited work

No event found in the named queried sources as of 2026-08-08T06:32:00.761636+00:00.

Observation 10e0edd1-50d4-47f1-b22b-9a58dbb82b23 · outbound

This paper cites Jaddu, Paul A.

Stochastic Price Dynamics in Response to Order Flow Imbalance: Evidence from CSI 300 Index Futures Jaddu, Paul A

Reference 8

Resolution: verified fuzzy; raw_fallback, observed 2026-08-07T14:53:53.904802Z

Source-reported events for the cited work

No event found in the named queried sources as of 2026-08-08T06:32:00.761636+00:00.

Observation 88c7725e-c3c5-47ae-8a10-407fd5bb493b · outbound

This paper cites Forecasting High Frequency Order Flow Imbalance.

Stochastic Price Dynamics in Response to Order Flow Imbalance: Evidence from CSI 300 Index Futures Forecasting High Frequency Order Flow Imbalance

Reference 9

Resolution: verified exact; local_arxiv, observed 2026-08-07T14:53:25.215658Z

Source-reported events for the cited work

No event found in the named queried sources as of 2026-08-08T06:32:00.761636+00:00.

Observation bcc060b3-de7d-4f64-beb6-64824924c73a · outbound

This paper cites How and when are high-frequency stock returns predictable? Available at SSRN 4095405, 2022.

Stochastic Price Dynamics in Response to Order Flow Imbalance: Evidence from CSI 300 Index Futures How and when are high-frequency stock returns predictable? Available at SSRN 4095405, 2022

Reference 10

Resolution: verified fuzzy; raw_fallback, observed 2026-08-07T14:53:53.722717Z

Source-reported events for the cited work

No event found in the named queried sources as of 2026-08-08T06:32:00.761636+00:00.

Observation 3eefb1ff-f1bb-469d-8001-f24696d8924e · outbound

This paper cites Asymmetric effects of the limit order book on price dynamics.

Stochastic Price Dynamics in Response to Order Flow Imbalance: Evidence from CSI 300 Index Futures Asymmetric effects of the limit order book on price dynamics

Reference 11

Resolution: verified fuzzy; raw_fallback, observed 2026-08-07T14:53:53.540315Z

Source-reported events for the cited work

No event found in the named queried sources as of 2026-08-08T06:32:00.761636+00:00.

Observation 7450763e-19ad-4760-86e4-286ffbdb1cf4 · outbound

This paper cites A characterisation of cross-impact kernels.

Stochastic Price Dynamics in Response to Order Flow Imbalance: Evidence from CSI 300 Index Futures A characterisation of cross-impact kernels

Reference 12

Resolution: verified exact; local_arxiv, observed 2026-08-07T14:53:51.104911Z

Source-reported events for the cited work

No event found in the named queried sources as of 2026-08-08T06:32:00.761636+00:00.

Observation af566274-eb8c-4363-947a-8f39d59f3d7d · outbound

This paper cites an unresolved cited work.

Stochastic Price Dynamics in Response to Order Flow Imbalance: Evidence from CSI 300 Index Futures Unresolved cited work

Reference 13

Resolution: unresolved; raw_fallback, observed 2026-08-07T14:53:53.305029Z

Source-reported events for the cited work

No event found in the named queried sources as of 2026-08-08T06:32:00.761636+00:00.

Observation 9d19bc85-824f-4a38-8a6a-2a3768cd48bc · outbound

This paper cites Optimal exercise of American options under time-dependent Ornstein–Uhlenbeck processes.

Stochastic Price Dynamics in Response to Order Flow Imbalance: Evidence from CSI 300 Index Futures Optimal exercise of American options under time-dependent Ornstein–Uhlenbeck processes

Reference 14

Resolution: verified fuzzy; raw_fallback, observed 2026-08-07T14:53:53.092897Z

Source-reported events for the cited work

No event found in the named queried sources as of 2026-08-08T06:32:00.761636+00:00.

Observation f4cc7dd9-791a-455e-a595-d70942954fbf · outbound

This paper cites VIX pricing in the Bergomi model under a regime switching change of measure.

Stochastic Price Dynamics in Response to Order Flow Imbalance: Evidence from CSI 300 Index Futures VIX pricing in the Bergomi model under a regime switching change of measure

Reference 15

Resolution: verified fuzzy; raw_fallback, observed 2026-08-07T14:53:52.892555Z

Source-reported events for the cited work

No event found in the named queried sources as of 2026-08-08T06:32:00.761636+00:00.

Observation 94374422-2ee0-4777-b431-16bef4a62a8c · outbound

This paper cites an unresolved cited work.

Stochastic Price Dynamics in Response to Order Flow Imbalance: Evidence from CSI 300 Index Futures Unresolved cited work

Reference 16

Resolution: unresolved; raw_fallback, observed 2026-08-07T14:53:52.791333Z

Source-reported events for the cited work

No event found in the named queried sources as of 2026-08-08T06:32:00.761636+00:00.

Observation af6045f6-0ed1-40a9-adad-aaaef19f9b30 · outbound

This paper cites Bertram’s Pairs Trading Strategy with Bounded Risk.Central European Journal of Operations Research, Vol.

Stochastic Price Dynamics in Response to Order Flow Imbalance: Evidence from CSI 300 Index Futures Bertram’s Pairs Trading Strategy with Bounded Risk.Central European Journal of Operations Research, Vol

Reference 17

Resolution: verified fuzzy; raw_fallback, observed 2026-08-07T14:53:52.628493Z

Source-reported events for the cited work

No event found in the named queried sources as of 2026-08-08T06:32:00.761636+00:00.

Observation 713e7010-421e-4c11-9366-d59ce3a6531b · outbound

This paper cites Doyne Farmer, John Geanakoplos.

Stochastic Price Dynamics in Response to Order Flow Imbalance: Evidence from CSI 300 Index Futures Doyne Farmer, John Geanakoplos

Reference 18

Resolution: verified fuzzy; raw_fallback, observed 2026-08-07T14:53:52.524013Z

Source-reported events for the cited work

No event found in the named queried sources as of 2026-08-08T06:32:00.761636+00:00.

Observation ecdde09c-2041-44b1-877c-b78dd0e69330 · outbound

This paper cites Fast Pricing of Energy Derivatives with Mean-reverting Jump-diffusion Processes.

Stochastic Price Dynamics in Response to Order Flow Imbalance: Evidence from CSI 300 Index Futures Fast Pricing of Energy Derivatives with Mean-reverting Jump-diffusion Processes

Reference 19

Resolution: verified fuzzy; raw_fallback, observed 2026-08-07T14:53:52.340554Z

Source-reported events for the cited work

No event found in the named queried sources as of 2026-08-08T06:32:00.761636+00:00.

Observation f4da5697-e8cb-4218-9e2a-2cc0bf60715f · outbound

This paper cites Optimal Mean Reversion Trading with Transaction Costs and Stop-Loss Exit.

Stochastic Price Dynamics in Response to Order Flow Imbalance: Evidence from CSI 300 Index Futures Optimal Mean Reversion Trading with Transaction Costs and Stop-Loss Exit

Reference 20

Resolution: verified fuzzy; raw_fallback, observed 2026-08-07T14:53:52.182080Z

Source-reported events for the cited work

No event found in the named queried sources as of 2026-08-08T06:32:00.761636+00:00.

Observation 472c0820-4df6-4f03-8d4f-bc2a31097621 · outbound

This paper cites Optimal closing of a pair trade with a model con- taining jumps.

Stochastic Price Dynamics in Response to Order Flow Imbalance: Evidence from CSI 300 Index Futures Optimal closing of a pair trade with a model con- taining jumps

Reference 21

Resolution: verified fuzzy; raw_fallback, observed 2026-08-07T14:53:52.095848Z

Source-reported events for the cited work

No event found in the named queried sources as of 2026-08-08T06:32:00.761636+00:00.

Observation 0a428f5d-cb57-4229-9ad6-117763ed8713 · outbound

This paper cites Option pricing under Ornstein-Uhlenbeck stochastic volatility: a linear model.

Stochastic Price Dynamics in Response to Order Flow Imbalance: Evidence from CSI 300 Index Futures Option pricing under Ornstein-Uhlenbeck stochastic volatility: a linear model

Reference 22

Resolution: verified fuzzy; raw_fallback, observed 2026-08-07T14:53:51.967390Z

Source-reported events for the cited work

No event found in the named queried sources as of 2026-08-08T06:32:00.761636+00:00.

Observation 17094a71-1824-401e-b0c2-88a7bf113a49 · outbound

This paper cites Probability distribution of returns in the exponential Ornstein-Uhlenbeck model.

Stochastic Price Dynamics in Response to Order Flow Imbalance: Evidence from CSI 300 Index Futures Probability distribution of returns in the exponential Ornstein-Uhlenbeck model

Reference 23

Resolution: verified fuzzy; raw_fallback, observed 2026-08-07T14:53:51.866020Z

Source-reported events for the cited work

No event found in the named queried sources as of 2026-08-08T06:32:00.761636+00:00.

Observation 0b3c5f46-3ade-4625-8768-4620cff1e2b7 · outbound

This paper cites Multi-asset optimal execution and statistical arbitrage strategies under Ornstein-Uhlenbeck dynamics.

Stochastic Price Dynamics in Response to Order Flow Imbalance: Evidence from CSI 300 Index Futures Multi-asset optimal execution and statistical arbitrage strategies under Ornstein-Uhlenbeck dynamics

Reference 24

Resolution: verified exact; local_arxiv, observed 2026-08-07T14:53:50.983632Z

Source-reported events for the cited work

No event found in the named queried sources as of 2026-08-08T06:32:00.761636+00:00.

Observation 4aab8879-fef0-4ae5-8ea2-cf84c88f34d4 · outbound

This paper cites A closed-form solution for optimal mean-reverting trading strategies.

Stochastic Price Dynamics in Response to Order Flow Imbalance: Evidence from CSI 300 Index Futures A closed-form solution for optimal mean-reverting trading strategies

Reference 25

Resolution: verified exact; local_arxiv, observed 2026-08-07T14:53:25.489524Z

Source-reported events for the cited work

No event found in the named queried sources as of 2026-08-08T06:32:00.761636+00:00.

Observation d2c1ce57-e1c1-45cf-ad4b-84ca0369836a · outbound

This paper cites Incorporating Signals into Optimal Trading.

Stochastic Price Dynamics in Response to Order Flow Imbalance: Evidence from CSI 300 Index Futures Incorporating Signals into Optimal Trading

Reference 26

Resolution: verified fuzzy; raw_fallback, observed 2026-08-07T14:53:51.783782Z

Source-reported events for the cited work

No event found in the named queried sources as of 2026-08-08T06:32:00.761636+00:00.

Observation 10edfd5d-7099-4a93-84a6-64a5912a1ee3 · outbound

This paper cites Performance analysis of the optimal strategy under partial information.

Stochastic Price Dynamics in Response to Order Flow Imbalance: Evidence from CSI 300 Index Futures Performance analysis of the optimal strategy under partial information

Reference 27

Resolution: verified fuzzy; raw_fallback, observed 2026-08-07T14:53:51.715546Z

Source-reported events for the cited work

No event found in the named queried sources as of 2026-08-08T06:32:00.761636+00:00.

Observation 8a207af9-a84b-4129-9464-5a8c376eb39f · outbound

This paper cites Forecasting trends with asset prices.

Stochastic Price Dynamics in Response to Order Flow Imbalance: Evidence from CSI 300 Index Futures Forecasting trends with asset prices

Reference 28

Resolution: verified exact; local_arxiv, observed 2026-08-07T14:53:25.348940Z

Source-reported events for the cited work

No event found in the named queried sources as of 2026-08-08T06:32:00.761636+00:00.

Observation 9c2edd2d-60a7-493a-a2c5-20bc5a07eeb5 · outbound

This paper cites Risk valuation of quanto derivatives on temperature and electricity.

Stochastic Price Dynamics in Response to Order Flow Imbalance: Evidence from CSI 300 Index Futures Risk valuation of quanto derivatives on temperature and electricity

Reference 29

Resolution: verified fuzzy; raw_fallback, observed 2026-08-07T14:53:51.593471Z

Source-reported events for the cited work

No event found in the named queried sources as of 2026-08-08T06:32:00.761636+00:00.

Observation 76fd31a7-a7dc-4a7a-9e3f-99ade9df8f56 · outbound

This paper cites High-frequency trading: a practical guide to algorithmic strategies and trading systems, Second Edition, John Wiley, 2013.

Stochastic Price Dynamics in Response to Order Flow Imbalance: Evidence from CSI 300 Index Futures High-frequency trading: a practical guide to algorithmic strategies and trading systems, Second Edition, John Wiley, 2013

Reference 30

Resolution: verified fuzzy; raw_fallback, observed 2026-08-07T14:53:51.390087Z

Source-reported events for the cited work

No event found in the named queried sources as of 2026-08-08T06:32:00.761636+00:00.

Observation 2fb10f0f-700a-4f39-9991-31cece1e9ac4 · outbound

This paper cites µ0e−θt + Z t 0 e−θ(t−s)dLs 2# Expanding the expression, we have: E µ2 t = E.

Stochastic Price Dynamics in Response to Order Flow Imbalance: Evidence from CSI 300 Index Futures µ0e−θt + Z t 0 e−θ(t−s)dLs 2# Expanding the expression, we have: E µ2 t = E

Reference 31

Resolution: verified fuzzy; raw_fallback, observed 2026-08-07T14:53:51.225934Z

Source-reported events for the cited work

No event found in the named queried sources as of 2026-08-08T06:32:00.761636+00:00.

Pith citing papers

Observation bfffda65-4804-4dd2-af69-cb7022928783 · inbound

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

When Does Order Flow Matter? State-Dependent L2 Liquidity-State Transitions in Crypto Futures Stochastic Price Dynamics in Response to Order Flow Imbalance: Evidence from CSI 300 Index Futures

Reference 9

Resolution: verified exact; local_arxiv, observed 2026-07-13T04:39:20.200524Z

Source-reported events for the cited work

No event found in the named queried sources as of 2026-08-08T06:32:00.761636+00:00.