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Quantitative Finance · Glossary

What is Intraday alpha, prediction horizon?

Also known as: intraday alpha · prediction horizon

Definition 14.1 Strategies I: Equities and Futures · Chapter 14 — Intraday Machine-Learned Alphas

An intraday alpha is a forecast of a security’s price change over seconds to hours, built from market data (the order book, the trades, related securities) and traded within the day. Its prediction horizon is the interval over which the price change is forecast, which sets how often the alpha trades and what execution cost it can bear.

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