High-frequency trading data can be full of erratic and random price processes, and contain anomalies due to spoofing attacks. Detecting market trends can be challenging.
Our solution predicts short-term price movements based on high-frequency trade data. We built the tool for an algorithmic prop-trading firm, that saw itself confronted with spoofing attacks and noisy price movements. The tool was capable of spotting statistical trends in the market microstructure, and the generated trading signals were profitibly executed by our client.
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