Table 3 Definition of standard variables with illustration of the feature extraction to predict the mid-price movement of the i-th window, \(i=3,\dots N/k\). Each window contains k=5 events
From: Novel modelling strategies for high-frequency stock trading data
Definition | Description |
|---|---|
\(V_{11}=P^{ask}_{i-1,k}\) | best ask price |
\(V_{12}=P^{bid}_{i-1,k}\) | best bid price |
\(V_{13}=P^{mid}_{i-1,k}\) | mid-price |
\(V_{14}=V^{ask}_{i-1,k}\) | best ask volume |
\(V_{15}=V^{bid}_{i-1,k}\) | best bid volume |
\(V_{16}=(P_{i-1,k}^{ask}-P_{i-1,k}^{bid})/P^{mid}_{i-1,k}\) | bid-ask spread return |
\(V_{17}=dP^{ask}/dt\) | best ask price derivative |
\(V_{18}=dP^{bid}/dt\) | best bid price derivative |
\(V_{19}=dP^{mid}/dt\) | mid-price derivative |
\(V_{20}=dV^{ask}/dt\) | best ask volume derivative |
\(V_{21}=dV^{bid}/dt\) | best bid volume derivative |
\(V_{22}=\) \(\#\) of events in the last second | arrival rate |