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Order Flow and Mid-Price Prediction by ingaleharshal is a document available to read on EtoBox.

What is Order Flow and Mid-Price Prediction about?

This document proposes and evaluates several nonparametric predictors of mid-price movement in a limit order book based on order book features. It introduces predictors based on a state vector describing the order book configuration and features calculated from order book data. The predictors forecast mid-price changes over a time horizon. The document evaluates the predictors by incorporating them into an order execution strategy in simulations, finding some features provide statistically significant gains

Author

ingaleharshal

Language

EN