Developing Bid-Ask Probabilities for High-Frequency Trading


Keywords: path integral, financial markets, high-frequency trading

Abstract

Methods of path integrals are used to develop multi-factor probabilities of bid-ask variables to be used in high-frequency trading (HFT). Adaptive Simulated Annealing (ASA) is used to fit the nonlinear forms, so developed to a day of BitMEX tick data. Maxima algebraic code is used to develop the path integral codes into C codes, and a sampling code is used for the fitting process. After these fits, the resultant C code is very fast and useful for forecasting upcoming ‘ask’, bid, midprice, etc., when narrow and wide windows of incoming data are used. A bonus is the availability of canonical momenta indicators (CMI) useful to forecast direction and strengths of these variables.

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Published
2020-04-30
How to Cite
Ingber, L. (2020). Developing Bid-Ask Probabilities for High-Frequency Trading. Virtual Economics, 3(2), 7-24. https://doi.org/10.34021/ve.2020.03.02(1)
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Articles