| Budget Amount *help |
¥4,420,000 (Direct Cost: ¥3,400,000、Indirect Cost: ¥1,020,000)
Fiscal Year 2011: ¥1,040,000 (Direct Cost: ¥800,000、Indirect Cost: ¥240,000)
Fiscal Year 2010: ¥910,000 (Direct Cost: ¥700,000、Indirect Cost: ¥210,000)
Fiscal Year 2009: ¥2,470,000 (Direct Cost: ¥1,900,000、Indirect Cost: ¥570,000)
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| Research Abstract |
This study tests whether short-horizon future returns can be predicted from past order imbalance in limit order markets. The evidence from the Tokyo Stock Exchange shows that changes in quote mid-points over five-minute intervals can be inferred from lagged order imbalances. The degree of predictability depends on the states of the limit order book in patterns consistent with the crowding-out effects. However, trading strategies based on lagged order imbalances as well as the states of the book are not necessarily conducive to positive returns because bid-ask spreads are relatively wide, suggesting that the market is informationally efficient in the semi-strong form.
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