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The micro-price: a high-frequency estimator of future prices |
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| Authors: | Sasha Stoikov |
| Affiliation: | 1. Cornell Financial Engineering Manhattan, 2 W Loop Rd, New York, NY 10044, USAsfs33@cornell.edu |
| Abstract: | The micro-price estimated using high-frequency data is empirically a better predictor of short-term prices than the mid-price or the weighted mid-price |
| Keywords: | |