We investigate how the dynamics of supply and demand affect the relationship between aggregated order flow and returns/market impact. We classify order flow according to the different event types that comprise it: Limit orders, cancelations and market orders executed against displayed or hidden...

We propose a static equilibrium model for limit order book where $N\geq 1$ profit-maximizing investors receive an information signal regarding the liquidation value of the asset and execute via a competitive dealer with random initial inventory. While the dealer's initial position plays a role...