Short-term inefficiencies on order-driven markets

Using highly detailed intraday data, we consider short-term market efficiency on Euronext through the analysis of returns and order imbalances over short periods from five to sixty minutes. Returns present serial correlation over five-minute time intervals. As lagged order imbalances have a significant positive predictive power on returns over this short period, it seems to demonstrate a weak-form short-term inefficiency probably due to the time investors need to integrate information relative to order imbalance and take advantage of it by making countervailing rades