FMZ
I wrote an article in 2020 introducing high-frequency strategies, https://www.fmz.com/bbs-topic/9750. Although it received quite a bit of attention, it was not very in-depth. More than two years have ...
FMZQuant
In the previous article, various methods for calculating mid-price were introduced, and a revised mid-price was proposed. In this article, we will delve deeper into this topic. Data Required We need o...
FMZQuant
In the previous article, I introduced how to model cumulative trading volume and analyzed the phenomenon of price impact. In this article, I will continue to analyze the trades order data. YGG recentl...
FMZQuant
I have written two articles on high-frequency trading of digital currencies, namely "Digital Currency High-Frequency Strategy Detailed Introduction" and "Earn 80 Times in 5 Days, the Power of High-fre...
FMZQuant
High-frequency trading is a challenging and competitive field that relies on rapid trade execution and sensitive insights into the microstructure of the market. One notable strategy is Penny Jump, whi...
FMZ Quant
Recently, I have summarized some key insights from papers studying limit order books. You will learn how to measure the imbalance of transaction volume in the order book and its predictive ability for...
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