Members-Only
Recent Talks & Demos are for members only
You must be an AI Tinkerers active member to view these talks and demos.
HFT Statistical Arbitrage Models
This talk details statistical model optimization using past order book data, a key metric, and converting model output into high-frequency trades.
How to do some statistical model optimization on past order book data for trading.
What is a good metric for optimizing a model of indicators and why.
How to convert to reward of such model into high frequency trades.
I will share one order book imbalance indicator.
I will present a python bot that is connected in live to a public binance API, computing the imbalance indicator and outputting some simulated orders. I will also illustrate the metric to optimize the model