Order Book Imbalance Prediction - Quant Trader Interview Question
Difficulty: Medium
Category: Market Microstructure
Practice quant interview questions from top firms including Jane Street, Citadel, Two Sigma, DE Shaw, and other leading quantitative finance companies.
Topics: order-book, market-microstructure, imbalance, trading-intuition
Problem Description
Consider a limit order book for a highly liquid stock. At the best bid and ask prices, you observe the following:
Best Bid Price: 100.00, Size: 500 shares
Best Ask Price: 100.01, Size: 10 shares
Assuming no other information is available, and market participants are generally rational, what is the most likely direction of the next price movement?
Important Considerations:
Assume the order book represents genuine liquidity and is not spoofed.
Consider the relative size of the bid and
Practice this medium trader interview question on MyntBit - the all-in-one quant learning platform with 200+ quant interview questions for Jane Street, Citadel, Two Sigma, and other top quantitative finance firms.