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Bid and ask sizes at the top of the order book provide information on short-term price moves. Drawing from classical descriptions of the order book in terms of queues and order-arrival rates (Smith et al (2003) ), we consider a diffusion model for the evolution of the best bid/ask queues. We compute the probability that the next price move is upward, conditional on the best bid/ask sizes and an additional parameter, the hidden liquidity of the market. We provide closed-form solutions for thedoi:10.3233/af-2011-004 fatcat:jsfznu7bn5fdlg75kappcxayqi