An Empirical Research On Dalian Commodity Exchange Future Prices Effect Of Order Flow Imbalance

Although the futures market is not widely known by ordinary investors,with China's futures market is gradually mature,we should pay more attention to study the microstructure of futures market.Comparing to rich research on stock market,the research on futures market is not enough.The existing researches on the are mostly based on the information contained in the trading behavior,and builds the trading volume and the trade imbalance from the transaction information to explore its influence on the price.In the order-driven futures market,the limit order book is the information center of investors,including important information about investor information,risk appetite,behavior preference and so on.Recently,the order flow imbalance provides a good tool to quantitative order book information.It is the core content of this paper to explore the relevant characteristics of investors' behavior in China's futures market and to explore the price impact of order flow imbalance.Based on the historical Level-2 data of the Dalian Commodity Exchange,this study chooses the main contract of the largest iron ore,soybean meal and palm oil as the research object.After a series of preprocessing of the original data,the data such as the number of trading imbalance,the volume of trading imbalance,the amount of trading imbalance,order flow imbalance and price change are calculated,and the correlation analysis is carried out.ACF and ADF test,to explore the behavior of futures market investors.On this basis,the design of cross-comparison experiment,check the order flow imbalance on the price of the degree of impact,and in different slice size and trading volume to test the degree of its impact on the robustness.The results of the study found that when price increase(decline)sellers(buyers)initiate more transactions,however,the actual volume initiated by sellers(buyers)is no more than volume initiated by buyers(sellers).When investors initiate the transaction,the investors are more likely to be influenced by other traders' behavior.As for the direction of the influence,investors are likely to do the same direction as other traders.When investor see other traders initiating buying,it is more likely follow to buy;as for the amount of following action,there is no law at all.In addition,it is verified that the order flow imbalance has a significant positive correlation with the futures price fluctuation.Compared with the volume of trading imbalance,the price impact effect of the order flow imbalance is more significant,and the fitting coefficient of the model regression is better.Further robustness tests found that when the contract was the main contract and the trade price under the limit price,the goodness of fit is stable across different timescales and different volume.