Significant order imbalance

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Significant order imbalance

A large number of buy or sell orders for a stock that cause an abnormally wide spread between bid and offer prices, and often causes the exchange to halt the sale of the stock until significant balance has been reestablished.
Copyright © 2012, Campbell R. Harvey. All Rights Reserved.

Significant Order Imbalance

The excess of buy orders or sell orders for a given security. That is, a significant order imbalance occurs when brokers or investors have made many more orders of one type such that they cannot be matched to orders of the opposite type. Significant order imbalance in either direction reduces the liquidity of a security and thus specialists and market makers attempt to keep order imbalance at the lowest possible level. If the order imbalance becomes too extreme, the exchange may suspend trade.
Farlex Financial Dictionary. © 2012 Farlex, Inc. All Rights Reserved
References in periodicals archive ?
Our results reveal significant order imbalances, with a majority of buyer-initiated trades in the two hours preceding the announcement of positive surprises--changes in inventories that are larger than expected--at 10: 30 a.m.
We use intraday data to calculate order imbalances over short intervals (2 or 5 minutes) and show that there are significant order imbalances in days when the news release contains surprising inventory-level information.
The significant order imbalance takes place around the opening of the open outcry session, when increasing liquidity facilitates discreet trading.
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