arXiv 9 Aug 2025 · Finance — Trading
arXiv:2508.06788 · PDF · DOI · OpenAlex · Extracted main text
We study the interaction between returns and order flow imbalances in the S&P 500 E-mini futures market using a structural VAR model identified through heteroskedasticity. The model is estimated at one-second frequency for each 15-minute interval, capturing both intraday variation and endogeneity due to time aggregation. We find that macroeconomic news announcements sharply reshape price-flow dynamics: price impact rises, flow impact declines, return volatility spikes, and flow volatility falls. Pooling across days, both price and flow impacts are significant at the one-second horizon, with estimates broadly consistent with stylized limit-order-book predictions. Impulse responses indicate that shocks dissipate almost entirely within a second. Structural parameters and volatilities also exhibit pronounced intraday variation tied to liquidity, trading intensity, and spreads. These results provide new evidence on high-frequency price formation and liquidity, highlighting the role of public information and order submission in shaping market quality.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Deuskar, P. and Johnson, T. C (2011) Market Liquidity and Flow-driven Risk | 1.000 | 6 | 3 | 100% |
| 2 | Cont, R., Kukanov, A., and Stoikov, S (2014) The price impact of order book events | 1.000 | 5 | 4 | 100% |
| 3 | Rigobon, R (2003) Identification through heteroskedasticity | 0.644 | 2 | 2 | 100% |
| 4 | Brogaard, J., Hendershott, T., and Riordan, R (2014) High-frequency trading and price discovery | 0.511 | 2 | 1 | 100% |
| 5 | Hautsch, N. and Huang, R (2012) The market impact of a limit order | 0.511 | 2 | 1 | 100% |
| 6 | Andersen, T. G. and Bollerslev, T (1997) Intraday periodicity and volatility persistence in financial markets | 0.405 | 1 | 1 | 100% |
| 7 | Andersen, T. G., Bollerslev, T., Diebold, F. X., and Vega, C (2003) Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange | 0.405 | 1 | 1 | 100% |
| 8 | Andersen, T. G., Bollerslev, T., Diebold, F. X., and Vega, C (2007) Real-time price discovery in global stock, bond and foreign exchange markets | 0.405 | 1 | 1 | 100% |
| 9 | Bagehot, W (1971) The only game in town | 0.405 | 1 | 1 | 100% |
| 10 | Bouchaud, J.-P., Mézard, M., and Potters, M (2002) Statistical properties of stock order books: empirical results and models | 0.405 | 1 | 1 | 100% |
Showing the top 10 of 22 scored citations.