Before revision:  The sensitivity of our model is evaluated in a simulation study and an empirical analysis. We estimate several linearized model specifications based on the theoretical description of the LOB and conduct in- and out-of-sample forecasts on several frequencies .
After revision:  The sensitivity of our model is evaluated in a simulation study we illustrate how the model works and highlight its sensitivity with respect to assumptions regarding the collective behavior of market participants. Empirically, we test the model on a LOB snapshot of XETRA, estimate several linearized model specifications based on the theoretical description of the LOB and conduct in- and out-of-sample forecasts on several frequencies .