A Jax implementation implementation of Micro-Price: A High Frequency Estimator of Future Prices.
Project description
microprice
A Jax implementation implementation of Micro-Price: A High Frequency Estimator of Future Prices.
Installation
pip install microprice
Usage
from microprice import MicroPriceEstimator, load_sample_data
mpe = MicroPriceEstimator(symbol="AAPL",
n_imbalances=10,
n_spread=2,
dt=1)
T = mpe.load(load_sample_data())
mpe.fit(T, iterations(6))
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