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High resolution microprice estimates from limit orderbook data using hyperdimensional vector Tsetlin Machines

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  • Christian D. Blakely

Abstract

We propose an error-correcting model for the microprice, a high-frequency estimator of future prices given higher order information of imbalances in the orderbook. The model takes into account a current microprice estimate given the spread and best bid to ask imbalance, and adjusts the microprice based on recent dynamics of higher price rank imbalances. We introduce a computationally fast estimator using a recently proposed hyperdimensional vector Tsetlin machine framework and demonstrate empirically that this estimator can provide a robust estimate of future prices in the orderbook.

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  • Christian D. Blakely, 2024. "High resolution microprice estimates from limit orderbook data using hyperdimensional vector Tsetlin Machines," Papers 2411.13594, arXiv.org.
    • Handle: RePEc:arx:papers:2411.13594
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    File URL: http://arxiv.org/pdf/2411.13594
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