根据订单薄价格跳空进行价格预测

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描述订单薄的生成过程，以及建立了一套预测模型，非常值得学习。
BookPrice Jump Prediction in Limit Order BookPrice Jump Prediction in Limit Orde.pdf (788.43 KB, 需要: 2 个论坛币)

2016-5-19 11:00:33 上传

A limit order book provides information on available limit order prices and their volumes. Based on ...
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，
A limit order book provides information on available limit order
prices and their volumes. Based on these quantities, we give an em-
pirical result on the relationship between the bid-ask liquidity balance
and trade sign and we show that liquidity balance on best bid/best ask
is quite informative for predicting the future market order's direction.

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关键词：价格预测 relationship information predicting Quantities 订单