A limit order book provides information on available limit order prices and their volumes. Based on these quantities, we give an empirical result on the relationship between the bid-ask liquidity balance and trade sign and we show that liquidity balance on best bid/best ask is quite informative...

This paper provides statistical learning techniques for determining the full own-price market impact and the relevance and effect of cross-price and cross-asset spillover channels from intraday transactions data. The novel tools allow extracting comprehensive information contained in the limit...