Market Microstructure
Notes on Order Flow Imbalance
- Published
- 18 MAY 2026
- Reading
- 1 MIN
- Status
- DEMONSTRATION ENTRY
A reading-note style outline of how signed volume and queue dynamics are commonly modelled at short horizons.
DEMONSTRATION ENTRY — outline placeholder. No empirical claims are made.
Scope
Short-horizon price changes are often related to the imbalance between buy and sell pressure at the top of the book. This note is a template for documenting that line of work.
Sections to fill in
- Definitions and notation
- Data and cleaning
- Estimation and inference
- Limitations and failure modes
The walk below is a synthetic simulation.