Before revision:  This result is compatible with the optimal trading framework which was proposed by Cartea and Jaimungal [10]  .
After revision:  This result is compatible with the optimal trading framework which was proposed by Cartea and Jaimungal [10] . In order to support our models, we analyse nine months of tick by tick data on 13 European stocks from the NASDAQ OMX exchange. We show that orderbook imbalance is a predictor of the future price move and it has some mean-reverting properties. From this data we show that market participants, especially high frequency traders, use this signal in their trading strategies .