标题： 广义订单流量失衡的价格影响 显示英文标题

标题： The Price Impact of Generalized Order Flow Imbalance

摘要： 订单流不平衡可以解释股票价格的短期变化。 本文考虑了实际交易中非最小报价单位的变化，并提出了一种广义订单流不平衡构造方法以改进订单流不平衡（OFI）和稳定化订单流不平衡（log-OFI）。 基于高频订单簿快照数据，我们对沪深300成分股进行了实证分析。 为了便于展示，我们选择了10只股票进行比较。 广义订单流不平衡构造方法改进后的两个指标都表现出更好的解释股票价格变化的能力。 特别是 广义稳定化订单流不平衡（log-GOFI），使用线性回归模型，在30秒、1分钟和5分钟的时间尺度上，样本外平均R平方分别比订单流不平衡（OFI）提高了32.89%、38.13%和42.57%，分别达到83.57%、85.37%和86.01%。 此外，我们发现广义稳定化订单流不平衡（log-GOFI）在三个时间尺度上的解释力表现出更强的稳定性。 显示英文摘要

摘要： Order flow imbalance can explain short-term changes in stock price. This paper considers the change of non-minimum quotation units in real transactions, and proposes a generalized order flow imbalance construction method to improve Order Flow Imbalance (OFI) and Stationarized Order Flow Imbalance (log-OFI). Based on the high-frequency order book snapshot data, we conducted an empirical analysis of the CSI 500 constituent stocks. In order to facilitate the presentation, we selected 10 stocks for comparison. The two indicators after the improvement of the generalized order flow imbalance construction method both show a better ability to explain changes in stock prices. Especially Generalized Stationarized Order Flow Imbalance (log-GOFI), using a linear regression model, on the time scales of 30 seconds, 1 minute, and 5 minutes, the average R-squared out of sample compared with Order Flow Imbalance (OFI) 32.89%, 38.13% and 42.57%, respectively increased to 83.57%, 85.37% and 86.01%. In addition, we found that the interpretability of Generalized Stationarized Order Flow Imbalance (log-GOFI) showed stronger stability on all three time scales.