Footnote:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments December 15, 2022 erstellt
Description:
Quant methods for short-term price prediction of tradable assets have been studied by academics and practitioners throughout finance. One such robust predictor of price movements is the micro-price. The micro-price “can be considered to be the ‘fair’ price of an asset, conditional on the information in the order book”, and has been shown to be a better short-term price predictor in equity markets than the mid-price and weighted mid-price (Stoikov 2017). In this study we seek to apply this idea to define a robust estimator of the micro-price for Bitcoin (BTC). Sourcing high-frequency, limit order book (LOB) data from Bitstamp, we construct three mid-price adjustment estimators of the micro-price. We show that the Volume-Adjusted Mid-Price (VAMP) outperforms trade and quote imbalance adjusted mid-prices in both prediction of short-term price direction and larger, one standard deviation price movements