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

Sasha Stoikov

Quantitative Finance, 2018, vol. 18, issue 12, 1959-1966

Abstract: The micro-price estimated using high-frequency data is empirically a better predictor of short-term prices than the mid-price or the weighted mid-price

Date: 2018
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DOI: 10.1080/14697688.2018.1489139

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