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Difficulty: Medium
Category: Market Microstructure
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Topics: order-book, market-microstructure, imbalance, trading-intuition
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
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