Price Jump Prediction in Limit Order Book

Understand

A limit order book provides information on available limit order prices and their volumes.

• Based on these quantities, we give an empirical result on the relationship between the bid-ask liquidity balance and trade sign and we show that liquidity balance on best bid/best ask is quite informative for predicting the future market order's direction.
• Moreover, we define price jump as a sell (buy) market order arrival which is executed at a price which is smaller (larger) than the best bid (best ask) price at the moment just after the precedent market order arrival.
• Features are then extracted related to limit order volumes, limit order price gaps, market order information and limit order event information.