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What is Order Book Filtration and Directional Signal Extraction at High Frequency about?
The document investigates the impact of filtering high-frequency limit order book (LOB) data on the clarity of directional signals, specifically focusing on order book imbalance (OBI). It presents three filtration schemes and demonstrates that while structural filtration enhances correlation and explanatory power of OBI, it yields limited improvements in causal strength. The findings emphasize the necessity of distinguishing between associative and causal diagnostics in high-frequency trading strategies.
- Author
- 06- Chí Bảo Lê
- Language
- EN