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OFTER: An Online Pipeline for Time Series Forecasting
We introduce OFTER, a time series forecasting pipeline tailored for mid-sized multivariate time series.
Option Volume Imbalance as a predictor for equity market returns
We investigate the use of the normalized imbalance between option volumes corresponding to positive and negative market views, as a predictor for directional price movements in the spot market.
Fragmentation, Price Formation, and Cross-Impact in Bitcoin Markets
In light of micro-scale inefficiencies induced by the high degree of fragmentation of the Bitcoin trading landscape, we utilize a granular data set comprised of orderbook and trades data from the most liquid Bitcoin markets, in order to understand the price formation process at sub-1 second time scales.
