SSRNTrading, Microstructure & Execution
Order Flow Imbalance and Price Impact in Indian Equity Derivatives: Cross-Sectional Evidence from NSE F&O Markets
Multilevel order flow imbalance in Indian equity derivatives predicts mean-reverting price dynamics with information coefficients growing from -0.004 at ten seconds to -0.032 at sixty seconds.
Featured in No. 133 on 2 Oct 2026 · 1 day after release
- Released
- 1 Oct 2026
- First featured
- No. 133 · 2 Oct 2026
- Published in
- Not yet, as far as Semantic Scholar knows
- Fanfare
- 2 of 5
- Identifier
- SSRN 7542098
- Authors
- Abhimanyu Chaudhari
Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).