We investigate the impact of order flow imbalance (OFI) on price movements in equity markets in a multi-asset setting. First, we propose a systematic approach for combining OFIs at the top levels of the limit order book into an integrated OFI variable which better explains price impact, compared to the best-level OFI. We show that once the information from multiple levels is integrated into OFI, multi-asset models with cross-impact do not provide additional explanatory power for contemporaneous impact compared to a sparse model without cross-impact terms. On the other hand, we show that lagged cross-asset OFIs do improve the forecasting of future returns. We also establish that this lagged cross-impact mainly manifests at short-term horizons and decays rapidly in time.

我们研究了多资产环境下订单流失衡 (OFI) 对股票市场价格变动的影响。首先，我们提出了一种系统方法，将限价订单簿顶层的 OFI 合并为一个综合的 OFI 变量，与最佳级别的 OFI 相比，该变量可以更好地解释价格影响。我们表明，一旦来自多个级别的信息被整合到 OFI 中，与没有交叉影响项的稀疏模型相比，具有交叉影响的多资产模型不会为同期影响提供额外的解释力。另一方面，我们表明滞后的跨资产 OFI 确实改善了对未来回报的预测。我们还确定，这种滞后的交叉影响主要表现在短期内，并随着时间的推移迅速衰减。