Concepedia

Order Flow Effects

Order Flow Effects is a theoretical construct in financial economics that captures the causal impact of the net imbalance between buy and sell orders in foreign exchange markets or securities transactions on short-term price movements, liquidity provision, and market microstructure dynamics, distinguishing it from other price formation mechanisms by its focus on the informational content and execution pressure embedded in trading activity.

316

Publications

23.8K

Citations

445

Authors

309

Institutions

Publications per year

2017–2026

49

Parents

Publications

316

Does Net Buying Pressure Affect the Shape of Implied Volatility Functions?

Nicolas P. B. Bollen, Robert E. Whaley · The Journal of Finance · 2004 · 982 citations · Full text

, , +16

Order Flow and Exchange Rate Dynamics

Martin D.D. Evans, Richard K. Lyons · Journal of Political Economy · 2002 · 980 citations

, , +17

Why do NASDAQ Market Makers Avoid Odd‐Eighth Quotes?

William G. Christie, Paul Schultz · The Journal of Finance · 1994 · 767 citations

, , +15

Order flow composition and trading costs in a dynamic limit order market

Thierry Foucault · Journal of Financial Markets · 1999 · 714 citations

, , +13

Flow and stock effects of large-scale treasury purchases: Evidence on the importance of local supply

Stefania D’Amico, Thomas B. King · Journal of Financial Economics · 2012 · 668 citations

, , +10

1–5 of 316

Authors

445

  1. AS
    Avanidhar Subrahmanyam

    University of California, Los Angeles, United States

    12 publications · 924 citations

    12

    h-index

  2. MO
    Maureen O’Hara

    Cornell University, United States

    10 publications · 2K citations

    10

    h-index

  3. RK
    Richard K. Lyons

    University of California, Berkeley, United States

    8 publications · 1.5K citations

    8

    h-index

  4. DR
    Dagfinn Rime

    BI Norwegian Business School, Norway

    8 publications · 476 citations

    8

    h-index

  5. AM
    Ananth Madhavan

    BlackRock (United States), United States

    7 publications · 970 citations

    7

    h-index

1–5 of 445

Institutions

309

  1. National Bureau of Economic Research

    Cambridge, United States

    15 h-index

    25 publications

    3.2K citations

  2. Cornell University

    Ithaca, United States

    15 h-index

    28 publications

    4.4K citations

  3. Centre for Economic Policy Research

    London, United Kingdom

    12 h-index

    15 publications

    723 citations

  4. University of California, Los Angeles

    Los Angeles, United States

    12 h-index

    13 publications

    841 citations

  5. University of California, Berkeley

    Berkeley, United States

    9 h-index

    10 publications

    1.5K citations

  6. Pennsylvania State University

    State College, United States

    9 h-index

    9 publications

    390 citations

  7. Capital Fund Management (France)

    Paris, France

    9 h-index

    28 publications

    1.9K citations

  8. Federal Reserve Board of Governors

    Washington D.C., United States

    9 h-index

    16 publications

    2.6K citations

1–8 of 309

Venues

  1. SSRN Electronic Journal

    Repository · 111 publications · 4.3K citations

    34

    h-index

  2. The Journal of Finance

    21 publications · 5.1K citations

    19

    h-index

  3. Journal of International Money and Finance

    11 publications · 610 citations

    11

    h-index

  4. Journal of Financial and Quantitative Analysis

    JFQA · 11 publications · 935 citations

    11

    h-index

  5. Review of Financial Studies

    10 publications · 1.9K citations

    10

    h-index

1–5