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

Published 2024-04-19

Everscope rating

1554

Relevance to quantitative trading

9 / 10

Implementation complexity

7 / 10

Reproducibility

4 / 5

About this paper

Methodology: Statistical analysis of high-frequency trading data. Problem types: Time Series Analysis, Option Pricing, Risk Management.

arXiv:2404.11722 · Paper rankings

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