Academy · Order flow research
Research Library
A synthesis of 17 academic papers (2012–2026) on order flow, market microstructure and optimal execution — filtered and applied to your 5 tools: CVD, Volume Profile, Absorption, DOM, Heatmap.
Sources: Tiwari (2025), Chen-Horst-Tran (2023), Nutz-Webster-Zhao (2025), Anantha-Jain (2024), Chatziandreou-Karbach (2025), Wang (2025), Cucuringu-Li-Zhang (2025), Luwang et al. (2026), de Witt-Pakkanen (2026), Coxon (2023), Schlie (2025), Ayyar (2025), Veldman (2024), Prenzel (2023), Muravyev (2012), Jonuzaj et al. (2024), Doshi-Pederzoli-Sert (2025).
· Overview
Key numbers to remember
17
Academic papers analyzed
2012–2026
5
Tools covered in depth
CVD, VP, Absorption, DOM, Heatmap
36
Implementation ideas
6 per tool
5
ATAS charts with Entry/Target/Stop
MNQ 300T
Research Pack
Full access to the order flow research library
One-time payment — permanent online access
· Content preview
“OFI linearly predicts high-frequency price changes with a significant R².”
— Cont et al., Coxon, Veldman
“Buy/sell order flow exhibits self-excitement (Hawkes processes) — a large buy triggers child buys.”
— Tiwari, Chen-Horst-Tran
“Only 1-3% of daily volume is visible in the LOB at any instant t.”
— Bouchaud-Bonart, Coxon
· Included in the pack
- 17 academic papers analyzed and synthesized
- Insights filtered for CVD, Volume Profile, Absorption, DOM, Heatmap
- ATAS-style footprint charts with Entry / Target / Stop
- Matrix of ideal timeframes by tool and trading style
- 36 concrete implementation ideas
- Essential formulas (Hawkes, Propagator, OFI, Square-root law)
- A practical 6-step framework to combine the tools
- Lifetime updates included