The micro-price: a high-frequency estimator of future prices

Sasha Stoikov · 2018 · Quantitative Finance

IntermediateHFTMethod

A fair-price estimator built from bid, ask, imbalance and spread that beats the mid and the weighted mid as a short-horizon predictor. Very practical.

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At a glance

Level: Intermediate: Comfortable with statistics, regressions and basic probability models
Horizon: HFT
Data needed: L1 quotes Set what data you have
Themes: Order-flow alpha
Assets: Equities
Market: Global

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Short-term alpha from the order book

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Cite

@article{stoikov2018micro,
  author = {Stoikov, Sasha},
  title = {{The micro-price: a high-frequency estimator of future prices}},
  journal = {Quantitative Finance},
  year = {2018},
  doi = {10.1080/14697688.2018.1489139}
}

Stoikov, S. (2018). The micro-price: a high-frequency estimator of future prices. Quantitative Finance. https://doi.org/10.1080/14697688.2018.1489139