{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,4,28]],"date-time":"2026-04-28T15:45:51Z","timestamp":1777391151467,"version":"3.51.4"},"reference-count":0,"publisher":"SAGE Publications","issue":"1","content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["AF"],"published-print":{"date-parts":[[2011,12,23]]},"abstract":"<jats:p>Bid and ask sizes at the top of the order book provide information on short-term price moves. Drawing from classical descriptions of the order book in terms of queues and order-arrival rates (Smith et al., 2003), we consider a diffusion model for the evolution of the best bid\/ask queues. We compute the probability that the next price move is upward, conditional on the best bid\/ask sizes, the hidden liquidity in the market and the correlation between changes in the bid\/ask sizes. The model can be useful, among other things, to rank trading venues in terms of the \u201cinformation content\u201d of their quotes and to estimate hidden liquidity in a market based on high-frequency data. We illustrate the approach with an empirical study of a few stocks using quotes from various exchanges.<\/jats:p>","DOI":"10.3233\/af-2011-004","type":"journal-article","created":{"date-parts":[[2019,11,9]],"date-time":"2019-11-09T17:43:30Z","timestamp":1573321410000},"page":"35-43","source":"Crossref","is-referenced-by-count":31,"title":["Forecasting prices from level-I quotes in the presence of hidden liquidity"],"prefix":"10.1177","volume":"1","author":[{"given":"Marco","family":"Avellaneda","sequence":"first","affiliation":[{"name":"Courant Institute, New York University and Finance Concepts LLC, NY, USA"}],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Josh","family":"Reed","sequence":"additional","affiliation":[{"name":"Stern School of Business, New York University, NY, USA"}],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Sasha","family":"Stoikov","sequence":"additional","affiliation":[{"name":"Cornell Financial Engineering Manhattan, NY, USA. Email: sfs33@cornell.edu"}],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"179","container-title":["Algorithmic Finance"],"original-title":[],"link":[{"URL":"https:\/\/content.iospress.com\/download?id=10.3233\/AF-2011-004","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2026,4,28]],"date-time":"2026-04-28T09:52:36Z","timestamp":1777369956000},"score":1,"resource":{"primary":{"URL":"https:\/\/journals.sagepub.com\/doi\/full\/10.3233\/AF-2011-004"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2011,12,23]]},"references-count":0,"journal-issue":{"issue":"1"},"URL":"https:\/\/doi.org\/10.3233\/af-2011-004","relation":{},"ISSN":["2157-6203","2158-5571"],"issn-type":[{"value":"2157-6203","type":"electronic"},{"value":"2158-5571","type":"print"}],"subject":[],"published":{"date-parts":[[2011,12,23]]}}}