With tick level data I'm trying to understand the day's action:

  1. Whether the stock was being accumulated or distributed during the day and
  2. The buying and Selling pressure throughout the day

The first is to help me decide whether to take a position and the second one to filter intraday trading opportunity.

So far I've calculated up down price/volume based on "Quantifying Short Term Market Bottoms Using 90% Days and STI" (from the following site https://www.lowryresearch.com/Research/WhitePapers). But doing the analysis intraday does not produce any actionable insight.

I'm sort of out of ideas, hence this post. I'd appreciate very much if the community could:

  1. point me to any research papers done on this
  2. Recommend any books/articles that could be of use for my analysis
  3. Any ideas or process that might help me achieve my two objectives.

Thanks in advance!

Kind regards Joe


1 Answer 1


What you are looking for are order book statistics, which stand on their own compared to technical indicators because they can be calculated down to specific depths of the LOB (limit order book).

Several measures have been introduced based on intraday variables and flows (first derivatives of order book variables and statistics) that deal with volume accumulation and bid/ask-side trade imbalances/pressure. Some offer probabilistic inference.

I recommend searching the Quantitative Finance journal for "order book statistics". Relevant articles often have a glossary in the appendix that enumerates several order book measures in a list or table.



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