We propose several nonparametric predictors of the mid-price in a limit order book, based on different features constructed from the order book data observed contemporaneously and in the recent past. We evaluate our predictors in the context of an order execution task by constructing order...

We introduce a long memory autoregressive conditional Poisson (LMACP) model to model highly persistent time series of counts. The model is applied to forecast quoted bid-ask spreads, a key parameter in stock trading operations. It is shown that the LMACP nicely captures salient features of...