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Quantitative Finance · Begrippenlijst

Wat is Depth imbalance, depth profile?

Ook bekend als: depth imbalance · depth profile

Definition 8.3 Research Craft: Predictors, Backtests, Measurement, Portfolios · Hoofdstuk 8 — Order-Book Features

The depth imbalance over LL levels is (∑i≤Lqib−∑i≤Lqia)/(∑i≤Lqib+∑i≤Lqia)(\sum_{i \le L}q^b_i - \sum_{i \le L}q^a_i)/(\sum_{i\le L}q^b_i + \sum_{i \le L}q^a_i), with qib,qiaq^b_i, q^a_i the quantities at the ii-th best bid and ask prices. The depth profile of a side is the vector of its quantities by distance from the touch.

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