This study applies machine learning models to explore the predictive power of ten categories of financial indicators in Chinese stock market. Meanwhile, we assess whether influential financial indicators cluster into specific categories that hold greater importance for stock return prediction....

Order Flow Imbalance (OFI) can explain short-term changes in stock price. This paper considers the change of non-minimum quotation units, and proposes Generalized Order Flow Imbalance (GOFI) to explain the price change. Based on the limit order book snapshot data, we conduct an empirical...