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中文摘要：
介绍并利用订单流不平衡作为衡量中国股票市场供求关系的指标．考察限价订单簿所包含的信息与价格行为的关系。并利用高频交易数据对订单簿的日间、日内特征以及订单流不平衡与股票价格运动的关系进行了实证研究。结果表明，我国股票市场上订单流不平衡存在显著的自相关性，而且订单流不平衡对股票价格有着显著的冲击效应。
英文摘要：
This paper introduces and utilizes order imbalance variable as indicator of the supply and demand in stock market, and investigate the relationship between information contained in order book and price behavior. Empirical research is done on the daily and intraday characteristics of order book and the correlation between order imbalance and stock price on the basis of high- frequency data. The result indicates that the order imbalances of our stock market are auto-correlative and the price impact thus resulted in is obvious.
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