Lee, Yi-Tsung; Liu, Yu-Jane; Roll, Richard; … - In: Journal of Financial and Quantitative Analysis 39 (2004) 02, pp. 327-341
Data from the Taiwan Stock Exchange identify the originator of each submitted order, and there are no designated dealers or specialists. We study marketable order imbalances, i.e., the net order flow resulting from trades that demand immediacy. We distinguish imbalances by trader type...