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The micro-price: a high-frequency estimator of future prices

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  • Sasha Stoikov

Abstract

The micro-price estimated using high-frequency data is empirically a better predictor of short-term prices than the mid-price or the weighted mid-price

Suggested Citation

  • Sasha Stoikov, 2018. "The micro-price: a high-frequency estimator of future prices," Quantitative Finance, Taylor & Francis Journals, vol. 18(12), pages 1959-1966, December.
    • Handle: RePEc:taf:quantf:v:18:y:2018:i:12:p:1959-1966
    DOI: 10.1080/14697688.2018.1489139
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    Citations

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    Cited by:

    1. Philippe Bergault & Olivier Gu'eant, 2023. "Modeling liquidity in corporate bond markets: applications to price adjustments," Papers 2309.04216, arXiv.org, revised Oct 2023.
    2. Antoine Fosset & Jean-Philippe Bouchaud & Michael Benzaquen, 2020. "Non-parametric Estimation of Quadratic Hawkes Processes for Order Book Events," Working Papers hal-02998555, HAL.
    3. Stenfors, Alexis & Doraghi, Mehrdaad & Soviany, Cristina & Susai, Masayuki & Vakili, Kaveh, 2023. "Cross-market spoofing," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 83(C).
    4. Samuel N. Cohen & Christoph Reisinger & Sheng Wang, 2020. "Detecting and repairing arbitrage in traded option prices," Papers 2008.09454, arXiv.org.
    5. Hans Buehler & Phillip Murray & Mikko S. Pakkanen & Ben Wood, 2021. "Deep Hedging: Learning Risk-Neutral Implied Volatility Dynamics," Papers 2103.11948, arXiv.org, revised Jul 2021.
    6. Sergey Nadtochiy, 2020. "A simple microstructural explanation of the concavity of price impact," Papers 2001.01860, arXiv.org, revised Dec 2020.
    7. Hagströmer, Björn, 2021. "Bias in the effective bid-ask spread," Journal of Financial Economics, Elsevier, vol. 142(1), pages 314-337.
    8. Gao, Xuefeng & Xu, Tianrun, 2022. "Order scoring, bandit learning and order cancellations," Journal of Economic Dynamics and Control, Elsevier, vol. 134(C).
    9. Antoine Fosset & Jean-Philippe Bouchaud & Michael Benzaquen, 2021. "Non-parametric Estimation of Quadratic Hawkes Processes for Order Book Events," Post-Print hal-02998555, HAL.
    10. Antoine Fosset & Jean-Philippe Bouchaud & Michael Benzaquen, 2020. "Non-parametric Estimation of Quadratic Hawkes Processes for Order Book Events," Papers 2005.05730, arXiv.org.
    11. Xin Du & Kai Moriyama & Kumiko Tanaka-Ishii, 2023. "Co-Training Realized Volatility Prediction Model with Neural Distributional Transformation," Papers 2310.14536, arXiv.org.
    12. Joffrey Derchu & Philippe Guillot & Thibaut Mastrolia & Mathieu Rosenbaum, 2020. "AHEAD : Ad-Hoc Electronic Auction Design," Papers 2010.02827, arXiv.org.

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