An Empirical Research on Price Impact Effect of Order Imbalance

This paper introduces and utilizes order imbalance variable as indicator of the supply and demand in stock market,and investigate the relationship between information contained in order book and price behavior.Empirical research is done on the daily and intraday characteristics of order book and the correlation between order imbalance and stock price on the basis of high-frequency data.The result indicates that the order imbalances of our stock market are auto-correlative and the price impact thus resulted in is obvious.