LOB PC Signal: Weighted OFI, PCA, and Rolling Regression
LOB PC Signal: Weighted OFI, PCA, and Rolling Regression: a task in skilltrainbench-public: skilltrainbench training tasks (Harbor dataset). You are given some high-frequency crypto data (ADA 1-minute bars) and check if the next minute's mid return can be predicted using order flow. You need to…
The task
You are given some high-frequency crypto data (ADA 1-minute bars) and check if the next minute's mid return can be predicted using order flow. You need to calculate "Weighted True OFI" across 15 levels, transform them into a single factor using PCA, and then run a rolling regression to get some predictions.
Part of codeslord/skilltrainbench-public.