Deep order flow imbalance: Extracting alpha at multiple horizons from the limit order book
AdvancedHFTEmpiricalFree to readTestable with your data
Deep nets fed stationary order-flow-imbalance features beat nets fed raw book states, with predictability strongest at the shortest horizons.
At a glance
- Level
- Advanced: Stochastic control, point processes, heavy econometrics or deep learning
- Horizon
- HFT
- Data needed
- L2 depth (every update) Set what data you have
- Themes
- Order-flow alphaMachine learning
- Assets
- Equities
- Market
- US