SSRNTrading, Microstructure & Execution
Shallow versus Deep: The Anomaly in the Limit Order Book
Shallow-book imbalance shocks predict higher future volatility and positive returns, while deep-book shocks predict lower future volatility and negative returns, a pattern robust across Chinese stock constituents since 2014.
Featured in No. 137 on 30 Oct 2026 · 3 days after release
- Released
- 27 Oct 2026
- First featured
- No. 137 · 30 Oct 2026
- Published in
- Not yet, as far as Semantic Scholar knows
- Fanfare
- 2 of 5
- Identifier
- SSRN 7675440
- Authors
- Lin Fu et al.
Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).