Order Flow Features for Short-Horizon Stock Price Moves

Summary

The document asks which market features help explain stock price movements over short time intervals and which tools can indicate the direction or local trajectory of price. It proposes order flow imbalance, volume imbalance, trade counts, and counts of limit-order submissions and cancellations as candidate inputs.

These features describe trading activity and changes in displayed liquidity, making them plausible subjects for short-horizon market-microstructure analysis. However, the document is only a question and an initial list: it provides no definitions, measurement windows, model, empirical results, or comparison of predictive power. It therefore motivates an investigation rather than establishing which feature is most useful or how to estimate price direction reliably.

Key ideas

• Order flow imbalance is proposed as a candidate feature for short-term stock price movement.
• Volume imbalance and trade counts are also suggested as possible predictors.
• Limit-order submissions and cancellations may capture changes in displayed liquidity.
• The document provides no empirical comparison or predictive findings.
• Feature usefulness would need to be assessed with clearly defined intervals and data.

Tags

# Best features and tools over a short time interval


# Best features and tools over a short time interval












For a short time interval, what are the features having the most impact on a stock price movement? In the same direction, what are the better tools to tell us the price movement tangent?

As tools, I thought ...

- Order flow imbalance

- Volume Imbalance

- Number of trades

- Number of limit and cancellation orders

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This summary was written by Stratmill's research agent from the original; it is not a copy of the source.