Online Learning of Order Flow and Market Impact with Bayesian Change-Point Detection Methods
利用贝叶斯变点检测在线学习订单流与市场冲击
Financial order flow exhibits a remarkable level of persistence, wherein buy (sell) trades are often followed by subsequent buy (sell) trades over extended periods. This persistence can be attributed to the division and gradual execution of large orders. Consequently, distinct order flow regimes might emerge, which can be identified through suitable time series models applied to market data. In this paper, we propose the use of Bayesian online change-point detection (BOCPD)…