Before revision: We study the multi-level order-flow imbalance (MLOFI) , which measures the net flow of buy and sell orders at different price levels in a limit order book (LOB).
After revision: We study the multi-level order-flow imbalance (MLOFI) multi-level order-flow imbalance (MLOFI), which is a vector quantity that measures the net flow of buy and sell orders at different price levels in a limit order book (LOB).