Developing Bid-Ask Probabilities for High-Frequency Trading

Lester Ingber ()

Virtual Economics, 2020, vol. 3, issue 2, 7-24

Abstract: Methods of path integrals are used to develop multi-factor probabilities of bid-ask variables to be used in high-frequency trading (HFT). Adaptive Simulated Annealing (ASA) is used to fit the nonlinear forms, so developed to a day of BitMEX tick data. Maxima algebraic code is used to develop the path integral codes into C codes, and a sampling code is used for the fitting process. After these fits, the resultant C code is very fast and useful for forecasting upcoming ‘ask’, bid, midprice, etc., when narrow and wide windows of incoming data are used. A bonus is the availability of canonical momenta indicators (CMI) useful to forecast direction and strengths of these variables.

Keywords: path integral; financial markets; high-frequency trading (search for similar items in EconPapers)
Date: 2020
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Working Paper: Developing bid-ask probabilities for high-frequency trading (2020)
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Persistent link: https://EconPapers.repec.org/RePEc:aid:journl:v:3:y:2020:i:2:p:7-24

DOI: 10.34021/ve.2020.03.02(1)

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