Estimating the efficient price from the order flow: a Brownian Cox process approach
Trading and Market Microstructure
2013-04-15 v2 Statistical Finance
Abstract
At the ultra high frequency level, the notion of price of an asset is very ambiguous. Indeed, many different prices can be defined (last traded price, best bid price, mid price,...). Thus, in practice, market participants face the problem of choosing a price when implementing their strategies. In this work, we propose a notion of efficient price which seems relevant in practice. Furthermore, we provide a statistical methodology enabling to estimate this price form the order flow.
Keywords
Cite
@article{arxiv.1301.3114,
title = {Estimating the efficient price from the order flow: a Brownian Cox process approach},
author = {Sylvain Delattre and Christian Y. Robert and Mathieu Rosenbaum},
journal= {arXiv preprint arXiv:1301.3114},
year = {2013}
}