From 3c085d45706cae41d15cb6f37fd1ba7e392d5271 Mon Sep 17 00:00:00 2001 From: Jencir Lee Date: Mon, 22 Jan 2024 19:14:02 +0000 Subject: [PATCH] add statistical predictions of trading strategies post --- ...22-Statistical-Predictions-of-Trading-Strategies.md | 10 ++++++++++ 1 file changed, 10 insertions(+) create mode 100644 _posts/2024-01-22-Statistical-Predictions-of-Trading-Strategies.md diff --git a/_posts/2024-01-22-Statistical-Predictions-of-Trading-Strategies.md b/_posts/2024-01-22-Statistical-Predictions-of-Trading-Strategies.md new file mode 100644 index 0000000..6fc391d --- /dev/null +++ b/_posts/2024-01-22-Statistical-Predictions-of-Trading-Strategies.md @@ -0,0 +1,10 @@ +--- +title: Statistical Predictions of Trading Strategies in Electronic Markets +layout: post +--- + +[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