Order book imbalances directly trigger changes in stock prices
Multiple studies in market microstructure confirm that order book imbalances exhibit a strong positive correlation with future returns and can be used to model and predict short-term stock price movements.
The claim posits that order book imbalances directly trigger changes in stock prices. Papers 0, 6, and 8 all explicitly confirm the strong empirical relationship and predictive power of order book imbalance on future returns and price movements in financial markets. Therefore, the claim is well-supported by the provided literature.
Isao Yagi, Mahiro Hoshino, Takanobu Mizuta. Impact of High-Frequency Trading with an Order Book Imbalance Strategy on Agent-Based Stock Markets. 2023. https://doi.org/10.1155/2023/3996948
Paper [0] highlights the established positive correlation between order book imbalance and future returns.
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W. Chi, Xuemei Zhao, Lufei Huang. The Price Impact of Order Book Events from a Dimension of Time. 2021. https://doi.org/10.1155/2021/9949565
Paper [6] demonstrates that order imbalances and order execution imbalances directly explain price movements and improve price prediction models.
Jiahao Yang, Ran Fang, Ming Zhang, Jun Zhou. An Efficient deep learning model to Predict Stock Price Movement Based on Limit Order Book. 2025. https://doi.org/10.48550/arXiv.2505.22678
Paper [8] notes that utilizing order flow imbalance features helps deep learning models effectively predict stock price movements based on limit order books.
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