---
title: Order Flow Imbalance and Price Impact in Indian Equity Derivatives: Cross-Sectional Evidence from NSE F&O Markets
url: https://www.ml-quant.com/papers/ssrn/7542098/
site: ML-Quant (https://www.ml-quant.com)
updated: 2026-10-02
license: Summaries CC BY 4.0; links go to the original sources
index: https://www.ml-quant.com/llms.txt
identifier: SSRN 7542098
source_url: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=7542098
featured: 2026-10-02
citations: unknown
topic: Trading, 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.

- Source: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=7542098
- Identifier: SSRN 7542098
- Released: 2026-10-01
- First featured: Quant Letter No. 133 (2026-10-02): https://www.ml-quant.com/issues/2026-10-02/
- Citations (Semantic Scholar): not tracked
- Published in: not yet
- Topic: Trading, Microstructure & Execution
- Authors: Abhimanyu Chaudhari

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