In addition, there is significant negative order imbalance
(evidenced by the higher sell ratio) and negative returns for exposed firms.
There is going to be a gigantic order imbalance
when they (markets) restart.
To examine the order imbalance
, simple measures are created by subtracting the number or volumes of seller-initiated trades from buyer-initiated ones, expressed in percentage points.
Early 2013 will see the addition of Order Imbalance
data for NYSE and NYSE MKT.
To measure short (long) sellers' demand for liquidity, we compute, similarly to Chordia and Subrahmanayam (2004), order imbalance
metrics, SHIMB (LIMB), as the difference between the buyer- and the seller-initiated short (long) volume scaled by total short (long) volume.
They document three results: First, order imbalance
based on buyer- and seller-initiated small trades from the TAQ/ISSM data correlates well with the order imbalance
based on trades of individual investors from brokerage firm data.
For example, the order imbalance
in Coca-Cola on Monday showed a net of 911,000 shares to be sold.
My regression results reveal that IPOs' open-to-close returns are positively related to small trade participation, small trade purchases, and small trade order imbalance
in the hot IPO sample, but not in the cold and neutral IPO samples.
Rather than leaning against the wind, the specialist is likely to take advantage of the order imbalance
by setting the opening price away from the previous close.
He characterizes a momentum-reversal intraday return pattern within which, during the reversal, a negative return can be associated with a positive order imbalance
This version incorporates all the latest features of NASDAQ's flagship data product, including the Net Order Imbalance
Indicator to facilitate trading around the Opening Cross and the Closing Cross.
The arrival of insider purchases also changes the order imbalance