High resolution microprice estimates from limit orderbook data using hyperdimensional vector Tsetlin Machines
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arXiv
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| Format: | Preprint |
| Veröffentlicht: |
2024
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| _version_ | 1866915028814266368 |
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| author | Blakely, Christian D. |
| author_facet | Blakely, Christian D. |
| contents | We propose an error-correcting model for the microprice, a high-frequency estimator of future prices given higher order information of imbalances in the orderbook. The model takes into account a current microprice estimate given the spread and best bid to ask imbalance, and adjusts the microprice based on recent dynamics of higher price rank imbalances. We introduce a computationally fast estimator using a recently proposed hyperdimensional vector Tsetlin machine framework and demonstrate empirically that this estimator can provide a robust estimate of future prices in the orderbook. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2411_13594 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | High resolution microprice estimates from limit orderbook data using hyperdimensional vector Tsetlin Machines Blakely, Christian D. Trading and Market Microstructure Machine Learning Statistical Finance We propose an error-correcting model for the microprice, a high-frequency estimator of future prices given higher order information of imbalances in the orderbook. The model takes into account a current microprice estimate given the spread and best bid to ask imbalance, and adjusts the microprice based on recent dynamics of higher price rank imbalances. We introduce a computationally fast estimator using a recently proposed hyperdimensional vector Tsetlin machine framework and demonstrate empirically that this estimator can provide a robust estimate of future prices in the orderbook. |
| title | High resolution microprice estimates from limit orderbook data using hyperdimensional vector Tsetlin Machines |
| topic | Trading and Market Microstructure Machine Learning Statistical Finance |
| url | https://arxiv.org/abs/2411.13594 |