Order Imbalance Research Articles

CONCEPTUAL STUDY ON THE MANAGEMENT OF GRIDHRASI : A REVIEW ARTICLE

The modern lifestyle has given rise to a number of health-related issues. A growing number of musculoskeletal conditions include sciatica. Sciaticas signs and symptoms are similar to those of Gridhrasi, also known as Shoolpradhan Vatavayadhi in Ayurveda. Given that the patients gait resembles that of a vulture (gridhra) and that his legs are inflexible and slightly bowed, the disease may have derived its name from the bird gridhra. According to Sushruta, the kandara of Gridhrasi is impacted by the vitiated Vata dosha, making it difficult for the patient to extend their leg. Sciatica is an extremely painful ailment where pain radiates along the posteriolateral portion of the leg and thigh from the lumbar area. The quality of life is negatively impacted by low back discomfort, especially during ones prime working years. Since over 75% of people worldwide have had low back pain at some point in their lives, the incidence rate of low back pain is noteworthy. It is the most typical illness that keeps people from working. This illness leaves the victim partially disabled since they may not be able to stand, walk, or sit comfortably. The two basic areas of treatment in modern medicine are surgical pathology repair and pain management. The goal of Ayurvedic treatment is to rectify the underlying functional imbalance in order to restore harmony. The goal of Ayurvedic Gridhrasi treatments is to restore the imbalanced Vata or Vata Kapha to health by bringing it back to equilibrium.

Media tone and trading activity on the Sydney Stock Exchange 1901–1950

We examine how media reports influenced trading volumes and order imbalances on the Sydney Stock Exchange (SSX) from 1901 to 1950, focusing on wool market reports as a substitute for broader financial advice in the absence of a specialised investment press. Given wool's status as Australia's primary export and its integration with various sectors, we construct a weekly media sentiment index based on news about wool sales and auctions from the Sydney Morning Herald. Our findings reveal that positive news about the wool market correlates with increased trading volumes and reduced order imbalances on the SSX. This relationship persisted during significant events such as the UK government's wool purchase plans, the 1929 Wall Street Crash, World War II-related trading restrictions, and the short selling ban.

Trade co-occurrence, trade flow decomposition and conditional order imbalance in equity markets

The time proximity of high-frequency trades can contain a salient signal. In this paper, we propose a method to classify every trade, based on its proximity with other trades in the market within a short period of time, into five types. By means of a suitably defined normalized order imbalance associated to each type of trade, which we denote as conditional order imbalance (COI), we investigate the price impact of the decomposed trade flows. Our empirical findings indicate strong positive correlations between contemporaneous returns and COIs. In terms of predictability, we document that associations with future returns are positive for COIs of trades which are isolated from trades of stocks other than themselves, and negative otherwise. Furthermore, trading strategies which we develop using COIs achieve conspicuous returns and Sharpe ratios, in an extensive experimental setup on a universe of 457 stocks using daily data for a period of 4 years.

Protective Effects of Lactoferrin Treatment Against Sodium Arsenite Exposure-Induced Nephrotoxicity.

It is said that a wide range of renal functions are at risk from arsenic exposure. We examined how lactoferrin administration may mitigate inflammation, apoptosis, redox imbalance, and fibrosis in order to counteract arsenic-induced nephrotoxicity. Accordingly, male C57BL/6 mice (6weeks) were divided into six experimental groups with six mice in each group. The first and second groups were intragastrically administered normal saline and sodium arsenite (NaAsO2) at 5mg/kg body weight concentrations as the negative control (NC) and NaAsO2 groups. The third, fourth, and fifth groups were intragastrically administered lactoferrin at concentrations of 100, 200, and 400mg/kg body weight in addition to NaAsO2 at concentrations of 5mg/kg body weight. The sixth group was intragastrically administered lactoferrin at a concentration of 200mg/kg body weight with the experimental group set as the lactoferrin group. After daily drug administration for 4weeks, the lactoferrin concentrations were optimized based on the results of renal index and renal function. Histopathological, biochemical, and gene expression analyses were performed to evaluate the status of renal tissue architecture, redox imbalance, inflammation, apoptosis, and fibrosis to confirm the alleviative effect of lactoferrin treatment against the NaAsO2 exposure-induced nephrotoxicity. The results confirmed that the 200mg/kg lactoferrin treatment mitigated these arsenic effects and maintained the normal renal frameworks. Conclusively, disrupting the renal redox balance and triggering inflammation, apoptosis, along with fibrosis is a milieu that arsenic, robustly exerts its nephrotoxic effect. Lactoferrin, probably by its direct and indirect control mechanism on these said pathways, can mitigate the nephrotoxicity and preserve the normal renal health.

The individual motivation of investors' gambling mentality: Empirical evidence from gambling sentiment and lottery‐type stocks

AbstractWe construct a measure of public gambling sentiment using the Baidu index and empirically examine the influence of temporal fluctuations in gambling sentiment on the performance of lottery‐type stocks. The empirical findings reveal that heightened gambling sentiment correlates with increased selling volume, short‐term order imbalances and liquidity in the lottery‐type stock market, while diminishing abnormal returns, including the initial returns of IPOs. We attribute this to investors' gambling mentality stemming from the accumulation of wealth rather than the pursuit of excitement, as they view lotteries and lottery‐related stocks as interchangeable investment options.

A (Sub)penny for Your Thoughts: Tracking Retail Investor Activity in TAQ

ABSTRACTWe placed 85,000 retail trades in six retail brokerage accounts from December 2021 to June 2022 to validate the Boehmer et al. algorithm, which uses subpenny trade prices to identify and sign retail trades. The algorithm identifies 35% of our trades as retail, incorrectly signs 28% of identified trades, and yields uninformative order imbalance measures for 30% of stocks. We modify the algorithm by signing trades using the quoted spread midpoints. The quote midpoint method does not affect identification rates but reduces the signing error rates to 5% and provides informative order imbalance measures for all stocks.

Trading activity of VIX futures and options around FOMC announcements

This research investigates the information content of volatility trading in VIX derivatives under a high-frequency framework. We provide empirical evidence that the abnormal order imbalances of VIX futures and call (put) options are significantly negative (positive) during FOMC embargoes. Our results remain robust under various empirical approaches for examining FOMC announcements. We also find that the VIX return (trading volume) is negatively (positively) associated with FOMC announcements. Overall, we document short-lived informational advantages in the VIX derivatives market and provide evidence of potential information leakage during FOMC embargoes.

Algorithmic trading and market efficiency around the introduction of the NYSE Hybrid Market

I study the effect of algorithmic trading on market efficiency, taking into account past market and limit order flows alike. I find that an exogenous increase in algorithmic trading around the introduction of the NYSE Hybrid Market leads to a significant decrease in the predictive power of surprises in market order imbalance and limit order book imbalances, especially at the outer levels of the limit order book. However, the predictive power of past returns remains largely unchanged. This suggests that algorithmic trading improves market efficiency by facilitating the incorporation of information embedded in both market and limit order flows.

Optimal liquidation using extended trading close for multiple trading days

The extended trading close (ETC) provides institutional investors an opportunity to trade at the closing price after the regular trading session (RTS) and disclosing the order imbalances to other market participants. ETCs exist in the Nasdaq, the SSE STAR, the SZSE ChiNext and the TWSE. To help a risk-averse institutional investor take advantage of the RTS and the ETC for liquidation, we develop a multistage dynamic programming model including the ETC, and derive recursive solutions for the multiple trading days scenario with closed-form solutions for the scenario with only two trading days. We also verify that the ETC is able to mitigate extreme price movements caused by fast liquidation, which is also a goal of the ETC set out by the SSE STAR and the SZSE ChiNext. Finally, we derive three results. First, an institutional investor can reduce execution costs after the introduction of the ETC. Second, a critical trading day exists, and to avoid prematurely revealing trading intentions, the investor should not trade in the ETC until such day. Third, even though the ETC orders submitted by the investor are unfilled, implementation of the ETC encourages the investor to change the liquidation strategy in the RTS, which reduces extreme price movements. In summary, the practical implications of this paper are that the investor should not trade during the ETC on the front few days to avoid prematurely revealing the investor’s trading intention by unfilled orders in the ETC and that introducing the ETC can reduce liquidation costs and extreme price movements.

Market price determination: Interpreting quote order imbalance under zero-profit equilibrium

We address the challenge of accurately determining market prices in order-driven markets, where the granularity of price adjustments is set by exchange rules, such as minimum increments of 0.01. Our approach advances traditional pricing models in accuracy by interpreting the dynamics of quote order imbalance, defined as the difference in volume between buy and sell orders at the best available prices, within a zero-profit equilibrium framework. This framework assumes that market competition leads to a state where no additional profit can be made from these imbalances. Analyzing high-frequency data from China's A-share market, we demonstrate the variable impact of order imbalances on price formation, influenced by the depth and liquidity of the market. We also uncover a potential threshold effect of order flow autocorrelation on pricing. Our findings enhance market microstructure research and high-frequency trading strategies by offering a valuable tool for understanding price formation's complex dynamics.

The origin of return correlation networks

Abstract Financial networks are constructed from asset price comovements. There is a large literature that takes these networks as given, for example, for portfolio optimization. But what exactly is the origin of these networks? We exploit a unique database with matched asset price and order imbalance data, allowing us to observe the trade orders placed and reveal excess demands along with the resulting prices. Empirically, we find that order imbalance comovement has a positive and statistically significant effect on return comovement. Filtering out the latent market factors from both order imbalance and return leads to a drastic drop in explanatory power. We infer that the market factor of order imbalance is the primary driver of return comovement—robust to model specifications as well as fixed effects. We present complementary results with market volatility and the decomposition of traders in terms of strategic heterogeneity. Our work brings forth the role of order imbalance networks in explaining asset return networks.

Central bank asset purchases and lending: Impact on search frictions

We investigate the impact of two central bank policies, asset purchases and asset lending, on the search frictions in the government bond market in Japan. We build a search-theoretic model to explore the impact of a central bank’s securities lending facility (SLF) by introducing a central bank as a lender. We test model predictions using intraday data from an electronic platform for Japanese government bonds. First, we find large-scale asset purchases (LSAPs) increase order imbalance in the repurchase agreement (repo) market. Threshold analysis reveals that asset purchase amounts exceeding 0.18% of the outstanding, which corresponds to 38.98% of our sample, cause a significantly higher imbalance. Second, the SLF has a floor effect on the repo rate by affecting dealers’ choices between the repo market and the SLF. Third, the novel friction measures we test show that LSAPs and the SLF have opposite influences on bargaining power in the repo market.

Workforce Diversity at Work: Exploring Ethnicity as Moderating in Age and Performance

It’s critical to promote workplace employee diversity, as it empowers various workforces and improves teamwork. Adopting employee diversity fosters a positive work atmosphere that encourages employee creativity and productivity. Based on this background, the aim of the study was to understand teaching faculty perceptions of age, ethnicity, and performance and to analyse the moderating effect of ethnicity on age and performance. The study was objective in nature, focusing on private colleges in the Kathmandu Valley of Nepal to select teaching faculty. A cross-sectional design was adopted, ensuring a snapshot of data collection. Consent and privacy were maintained throughout the study, respecting participants' confidentiality. The study identifies ethnicity as a moderating factor between age and performance, where age and ethnicity separately enhance performance but ethnicity as a moderating factor interacts negatively. While age has a positive relationship with performance, ethnicity as a moderator displays a subtle yet significant negative impact on job performance. Colleges must address both the advantages of age diversity and the ethnic imbalances in order to encourage equal opportunities and boost overall productivity.

Trade Size Based Order Imbalance and the Cross-Section of Stock Returns

Trade Size Based Order Imbalance and the Cross-Section of Stock Returns

Feminist Legal Theory as a Review of Legal Philosophy: Its Relation with Gender Equality in Indonesia

The birth of the Feminist Legal Theory is caused by an imbalance in the legal order which tends to be patriarchal, including in writing history the role of women should be balanced with that of men. In the perspective of legal philosophy, fulfilling women’s right and gender equality is an effort to obtain justice as al legal goal to realize the principle of equality before the law. The research method is normative juridical research with a qualitative analysis approach using primary and secondary legal sources . As a conclusion that the need for equal participation for women and men to exercise their rights and obligations in every policy and program as well as legal norms in laws and regulations that can guarantee equality of policies and programs that provide benefits to men and women.

Quantitative Factor Exploration Based on Insider Trading Detection

Factor research has always been the focus of financial quantitative forecasting research. In the existing multi-factor strategies, we have noticed that the combination modes of factors are different and arbitrary. We hope to develop a more accurate and effective multi-factor model by selecting the most common and most interpretable multi-factors and combining them with equal weight method and assigned weights developed by Hidden Markov Model after some optimizations applied to selected multi-factors. At the same time, we noticed that in the existing data information, there are reports or information that reveal the insider trading of related companies. The existing reports show that the abnormal data volume caused by insider trading will make the prediction of the model inaccurate. Therefore, we added insider trading as a factor into our model training through the order imbalance algorithm to obtain more accurate prediction results. The results show that the multi-factor model is interpretable and effective, and its effect is better than the predicted value than that of the single factor model. After adding the related factors of insider trading into the forecast, it has a certain normalization effect on the original predicted value with large deviation, but has little influence on the effect of the original value with small deviation, which proves the effectiveness of our factor based on insider trading.

The Cost of Clearing Fragmentation

Fragmenting clearing across multiple central counterparties (CCPs) is costly because global dealers cannot net positions across CCPs. They have to collateralize both the short position in one CCP and an offsetting long position in another CCP. This, coupled with a structural net order imbalance across CCPs, can cause prices to persistently differ across them (“the CCP basis”). Tests based on unique CCP data for interest-rate derivatives (IRDs) yield broad empirical support for this intuition and suggest that the clearing friction costs sellers clearing in LCH, the largest European CCP for IRDs, $80 million daily. This paper was accepted by Victoria Ivashina, finance. Funding: This work was supported by the Netherlands Organization for Scientific Research (NWO). A. Menkveld gratefully acknowledges the support of NWO Vici grant. Supplemental Material: The data files are available at https://doi.org/10.1287/mnsc.2023.4867 .

Liquidity, Volume, and Order Imbalance Volatility

ABSTRACTWe examine the dynamics of liquidity using a comprehensive sample of U.S. stocks in the post‐decimalization period. Motivated by a continuous‐time inventory model, we compute a high‐frequency measure of order imbalance volatility to proxy for the inventory risk faced by liquidity providers. We show that high‐frequency order imbalance volatility is an important driver of liquidity and explains the often positive time‐series relation between spread and volume for large stocks, which seems to run counter to most theoretical models. Furthermore, order imbalance volatility is priced in the cross‐section of stock returns.

Resolving a Paradox: Retail Trades Positively Predict Returns but Are Not Profitable

Abstract Retail order imbalance positively predicts returns, but on average retail investor trades lose money. Why? Order imbalance tests equal-weighted stocks, but retail purchases concentrate on attention-grabbing stocks that subsequently underperform. Long–short strategies based on extreme quintiles of retail order imbalance earn dismal annualized returns of −14.8% among stocks with heavy retail trading but earn 6.6% among other stocks. Our results reconcile the literatures on the performance of retail investors, the predictive content of retail order imbalance, and attention-induced trading and returns. Smaller retail trades concentrate more on attention-grabbing stocks and perform worse.

Soil C:N:P Stoichiometry Succession and Land Use Effect after Intensive Reclamation: A Case Study on the Yangtze River Floodplain

The coupling cycles of soil carbon (C), nitrogen (N), and phosphorus (P) have a significant impact on biogeochemical processes and ecosystem services. For centuries, large areas of floodplain wetlands in China have been extensively reclaimed for agricultural purposes due to population growth. However, little is known about the evolution of soil C:N:P stoichiometry along a reclamation chronosequence, particularly across different land uses. In this study, we investigated the variations in soil C:N:P ratios with land use and time gradients along a reclamation chronosequence comprising c. 0, 60, 100, 280, 2000, and 3000 years. Land reclamation induced nutrient decoupling, as it facilitated C and N accumulation from biological processes but restricted P supply controlled by geochemical processes. Soil C and N sequestration reached a stable state after 2000 years, while P declined steadily from 60 years. Soil C/P and N/P increased significantly and were controlled by organic carbon (OC) and total nitrogen (TN), respectively, indicating that an increase in C and N could also promote P uptake. Soil C/N declined in the first 60 years and stabilized at a threshold of 10:1. Different land use patterns following reclamation resulted in distinct soil nutrient structures. Paddies retained more OC and TN but exhibited lower adsorption of total phosphorus (TP) compared to adjacent dryland, leading to significant differences in C/P and N/P between land uses. Based on the redundancy analysis and random forest model, soil OC and TN were mainly affected by the abundance of bacteria metabolizing cellulose, while metal oxides, including Fe2O3 and CaO, could best predict TP. Soil C/P and N/P were mainly driven by soil texture and rose significantly with the increasing proportion of clay particles. Our study suggests that as reclamation proceeds, more anthropogenic management is required to regulate potential nutrient imbalances in order to prevent adverse effects on crop growth, soil quality, and ecosystem health. Additionally, any fertilization strategy should be developed based on dryland C and N deficiencies, and lack of P in paddies.