Online Learning of Order Flow and Market Impact (OLOFMI)

This library performs regime detection in the aggregated order flow time-series and market impact analysis. The required input file is in the format of the message file of the LOBSTER database [1] containing all the events in a Limit Order Book market for trading day. The code is also able to parse multiple trading days, i.e. multiple message files. For each message file, the aggregated order flow (volume of buy market orders minus volume of sell market orders) on a user-specified number of trades is created. Then, the SD-BOCPD (Score-Driven Bayesian Online Change-Point Detection)[2] companion code is used to obtain a list of change-points between regimes. The list of change-points between regimes is used to provide the average market impact (signed price change) within a regime as a function of time or of volume. Additionally, the code provides online predictions of order flow and market impact [3]. References: [1] [2] [3] Tsaknaki, I.-Y, Lillo, F., Mazzarisi, P., Online Learning of Order Flow and Market Impact with Bayesian Change-Point Detection Methods, arXiv:2307.02375 Quantitative Finance, (in press 2024)

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Additional Info
Field Value
Accessibility Virtual Access
AccessibilityMode OnLine Access
Availability On-Line
Basic rights Temporary download of a single copy only
CreationDate 2024-04-17 12:30
Creator Rizzini, Giorgio,,
External Identifier
Field/Scope of use Non-commercial only
Group Demography, Economy and Finance 2.0
Owner Rizzini, Giorgio,,
SoBigData Node SoBigData EU
SoBigData Node SoBigData IT
Sublicense rights No
Territory of use World Wide
Thematic Cluster Other
system:type Method
Management Info
Field Value
Author RIZZINI Giorgio
Maintainer RIZZINI Giorgio
Version 1
Last Updated 17 April 2024, 14:13 (CEST)
Created 17 April 2024, 12:33 (CEST)