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...

The previous article demonstrated the need for dynamically adjusting parameters and how to evaluate the quality of estimates by studying the order arrival intervals. This article will focus on depth d...

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...

Accumulated Trading Amount Modeling In the previous article, we derived an expression for the probability of a single trade amount being greater than a certain value. We are also interested in the dis...

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...