Browsing Brage INN by Author "Sirnes, Espen"
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Tick Size and Price Reversal after Order Imbalance
Sirnes, Espen; Dinh, Minh Thi Hong (Peer reviewed; Journal article, 2021)It is well known that intraday returns tend to reverse the following intraday period, conditional on excess buying pressure on the bid or ask side. This suggests that liquidity providers “overreact” to order imbalance (OIB) ...