Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: Queue Imbalance as a One-Tick-Ahead Price Predictor in a Limit Order
  Book   We investigate whether the bid/ask queue imbalance in a limit order book
(LOB) provides significant predictive power for the direction of the next
mid-price movement. We consider this question both in the context of a simple
binary classifier, which seeks to predict the direction of the next mid-price
movement, and a probabilistic classifier, which seeks to predict the
probability that the next mid-price movement will be upwards. To implement
these classifiers, we fit logistic regressions between the queue imbalance and
the direction of the subsequent mid-price movement for each of 10 liquid stocks
on Nasdaq. In each case, we find a strongly statistically significant
relationship between these variables. Compared to a simple null model, which
assumes that the direction of mid-price changes is uncorrelated with the queue
imbalance, we find that our logistic regression fits provide a considerable
improvement in binary and probabilistic classification for large-tick stocks,
and provide a moderate improvement in binary and probabilistic classification
for small-tick stocks. We also perform local logistic regression fits on the
same data, and find that this semi-parametric approach slightly outperform our
logistic regression fits, at the expense of being more computationally
intensive to implement.

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The categories of this paper are: plasm-ph
27
The categories of this paper are: comp-gas
30
The categories of this paper are: q-alg
34
The categories of this paper are: chem-ph
31
The categories of this paper are: ao-sci
1
The categories of this paper are: cs
35
The categories of this paper are: mtrl-th
20
The categories of this paper are: acc-phys
0
The categories of this paper are: hep-ph
9
The categories of this paper are: nlin
37
The categories of this paper are: supr-con
10
The categories of this paper are: q-bio
22
The categories of this paper are: chao-dyn
3
The categories of this paper are: physics
6
The categories of this paper are: astro-ph
7
The categories of this paper are: hep-th