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The time proximity of high-frequency trades can contain a salient signal. Inthis paper, we propose a method to classify every trade, based on its proximitywith other trades in the market within a short period of time, into five types.By means of a suitably defined normalized order imbalance associated to eachtype of trade, which we denote as conditional order imbalance (COI), weinvestigate the price impact of the decomposed trade flows. Our empiricalfindings indicate strong positive correlations between contemporaneous returnsand COIs. In terms of predictability, we document that associations with futurereturns are positive for COIs of trades which are isolated from trades ofstocks other than themselves, and negative otherwise. Furthermore, tradingstrategies which we develop using COIs achieve conspicuous returns and Sharperatios, in an extensive experimental setup on a universe of 457 stocks usingdaily data for a period of four years.

Trade Co-occurrence, Trade Flow Decomposition, and Conditional Order Imbalance in Equity Markets