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  1. OrderImbalance OrderImbalance Public

    Order Imbalance Strategy in High Frequency Trading

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  2. MicroPriceIndicator MicroPriceIndicator Public

    This repository serves to share the replicated results listed in the paper by Sasha Stoikov - The Micro-Price. As opposed to data used in the paper for US equities BAC and CVX, I am using the data …

    Jupyter Notebook 67 24