add statistical predictions of trading strategies post

jli05 · Jan 22, 2024 · 3c085d4 · 3c085d4
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+title: Statistical Predictions of Trading Strategies in Electronic Markets
+layout: post
+---
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+[https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4442770](https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4442770)
+
+> In this paper, we use 53 features that reflect (i) the state of the LOB, (ii) recent activity in the LOB, (iii) the current presence of the algorithm in the LOB, (iv) the current presence of the member in the LOB, (v) the cash and inventory of the algorithm, and (vi) the cash and inventory of the member.
+
+LOB: limit order book