Monolith Research
In plain terms
Close to the tape, the imbalance between buy and sell orders carries short-horizon information. This studies order-flow imbalance and the limit-order book.
How it works
Order-flow imbalance and book features are constructed and screened foresight-first — does the signal predict the next move by more than it costs to capture — before any model is fit.
What it’s tested against
The screen comes before the model: the foresight ceiling is measured against the cost bar, so a thin-feature model is never mistaken for a missing edge.
Data
Limit-order-book and trade data.
Researched — microstructure foresight measured against cost.