https://chris-zeng.pages.dev/tags/research/ Recent content in Research on Chris Zeng https://chris-zeng.pages.dev/img/headshot.jpg https://chris-zeng.pages.dev/img/headshot.jpg Hugo en-us Sun, 28 Jun 2026 00:00:00 +0000 https://chris-zeng.pages.dev/posts/order-flow-imbalance/ Sun, 28 Jun 2026 00:00:00 +0000 https://chris-zeng.pages.dev/posts/order-flow-imbalance/ I implemented a famous 2010 order-flow paper on four years of tick data and reproduced its headline result almost exactly: 67% R². Then I spent weeks trying to turn that signal into a trade. It died on the spread every single way I tried, across four years and six strategies. Reproducing the paper was an afternoon. Proving there was no money in it was the real work.