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Microprice Models in HFT: How Order Book Liquidity Reveals Short-Term Price Pressure
Microprice Models in HFT: How Order Book Liquidity Reveals Short-Term Price Pressure Introduction: Price Is Only Half the Story In high-frequency trading (HFT), the best bid and best ask reveal where buyers and sellers are currently willing to trade. However, these prices do not tell the entire story. The quantity of liquidity available at each […]
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