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The Microprice: Estimating the fair price, given the state of the order book.

The Microprice is the fundamental price of an asset, given the state of the order book. In this presentation, I will define it to be the limit of a sequence of expected mid-prices and provide conditions for this limit to exist. The micro-price may be expressed as an adjustment to the mid-price that takes into account the bid-ask spread and the imbalance. The micro-price can be estimated using high frequency data. You may download an iPython notebook and a small data sample from Github https://github.com/sstoikov/microprice, so you can explore the methods and implement this on your own data sets.