High resolution microprice estimates from limit orderbook data using hyperdimensional vector Tsetlin Machines

Christian D. Blakely

Papers from arXiv.org

Abstract: 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.

Date: 2024-11
New Economics Papers: this item is included in nep-ecm and nep-mst
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