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馃攳 Problem Statement..

Predict the next-minute stock return (ratio of time T+1 price to time T price) using market microstructure features such as volume, trade imbalance, spreads, and order book statistics.


Features Engineered

Aggregated per minute per stock:

  • num_trades, o, h, l, c, total_volume,
  • total_buy_cap, total_sell_cap, weighted_price
  • trade_imbalance_ratio, volume_imbalance_ratio
  • avg_spread, max_spread, min_spread
  • weighted_avg_bid_price, weighted_avg_ask_price

Target variable:

  • Return = (Next minute's close price) / (Current minute's close price)

Work

  • Aggregated trade and quote data to 1-minute intervals
  • Engineered predictive features
  • Modeled using Linear Regression
  • Evaluated with:
  • Minute-wise correlation plot (actual vs predicted returns)
  • Correlation matrix heatmap across all companies

馃搳 Example Outputs

1. Correlation over time

Measures how well predictions match real returns over each minute.

2. Correlation Matrix

Stock-wise return correlations across companies on the selected date.