{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,10,21]],"date-time":"2026-10-21T17:39:59Z","timestamp":1792604399589,"version":"4.5.0"},"posted":{"date-parts":[[2026]]},"group-title":"SSRN","reference-count":0,"publisher":"Elsevier BV","license":[{"start":{"date-parts":[[2026,1,1]],"date-time":"2026-01-01T00:00:00Z","timestamp":1767225600000},"content-version":"unspecified","delay-in-days":0,"URL":"https:\/\/creativecommons.org\/licenses\/by\/4.0\/"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":[],"abstract":"<jats:p>This paper introduces a market making framework that estimates short-term price pressure and fair value using a volatility-bounded order-book imbalance (OBI) model. Unlike traditional market making algorithms that rely solely on top-of-book signals, our approach aggregates liquidity within a volatility-scaled range around the midprice, producing a dynamic measure of buying and selling pressure. Using real-time order-book data from prediction markets, we demonstrate how this imbalance metric informs optimal quoting behavior by adjusting spreads and midpoints adaptively in response to market microstructure signals.<\/jats:p>","DOI":"10.2139\/ssrn.7646579","type":"posted-content","created":{"date-parts":[[2026,10,21]],"date-time":"2026-10-21T17:08:20Z","timestamp":1792602500000},"source":"Crossref","is-referenced-by-count":0,"title":["Volatility-Bounded Order-Book Imbalance Model for Market Making"],"prefix":"10.2139","author":[{"given":"Bill","family":"Chen","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"78","container-title":[],"original-title":[],"deposited":{"date-parts":[[2026,10,21]],"date-time":"2026-10-21T17:08:20Z","timestamp":1792602500000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.ssrn.com\/abstract=7646579"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2026]]},"references-count":0,"URL":"https:\/\/doi.org\/10.2139\/ssrn.7646579","relation":{},"subject":[],"published":{"date-parts":[[2026]]},"subtype":"preprint"}}