Beyond the Bid–Ask: Strategic Insights into Spread Prediction and the Global Mid-Price Phenomenon
By Yifan He, Abootaleb Shirvani, Barret Shao, Svetlozar Rachev, Frank Fabozzi
Rating
1486
Battle Count: 143
Relevance
9/10
Highly relevant for high-frequency trading and market microstructure analysis
Implementation Complexity
7/10
Requires advanced statistical knowledge and access to high-frequency trading data
Reproducibility
4/5
Data source and methodology are well-described, but some implementation details may be missing
About this paper
Methodology: Statistical analysis of high-frequency trading data. Problem types: Time Series Analysis, Option Pricing, Risk Management.
The interactive Everscope explorer (charts, battles, favorites) loads below.