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sstoikov authored Jun 2, 2020
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An estimator of the fair price, given the state of the order book.

This is based on the following paper:

Video introduction to motivate the microprice:
https://www.youtube.com/watch?v=0ZHypIAxYNo

You can download the paper here:
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2970694

There are two data files that are meant to help you get started. The iPython notebook contains all the
There are two data files that are meant to help you get started. The iPython notebook contains all the code.

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