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Order Imbalance HFT: 非平衡订单流高频交易模型

说明

基于前一段时间内订单流的非平衡特征,利用机器学习模型预测下一阶段价格涨跌。
在跨度为几十秒的时间范围内,订单流的非平衡特征与下一阶段的价格涨跌,可能会存在一定关联。(在足够好的流动性、以及某些品种下有效,例如15年前的期指)

简单的线性模型:

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