Order Book Alpha: Machine Learning for Limit Order Book Modeling, Liquidity Signals, and High-Frequency Trading by James Preston, Alice Schwartz
English | March 5, 2026 | ISBN: N/A | ASIN: B0GRCNZ67L | 578 pages | EPUB | 0.69 Mb
Reactive Publishing
Modern electronic markets are driven by the dynamics of the limit order book. Every quote, cancellation, and trade leaves a data signature that reveals liquidity, volatility, and the intentions of market participants. For quantitative traders and researchers, learning how to extract signal from this microstructure data has become one of the most powerful frontiers in systematic trading.
Order Book Alpha explores how machine learning techniques can be applied to order book data to identify liquidity patterns, short-term price pressure, and structural market signals that traditional models often miss.
This book explains how modern quantitative trading systems use order flow, queue dynamics, and microstructure features to build predictive models capable of operating in high-frequency environments.
Inside the book you will explore:
* The structure and mechanics of modern limit order books
* How liquidity, spreads, and order flow shape short-term price movement
* Feature engineering techniques for extracting signal from market microstructure data
* Machine learning approaches used in order book prediction
* Modeling queue dynamics and order flow imbalance
* Detecting liquidity shocks and microstructure regime changes
* Building datasets from tick-level market data
* Evaluating predictive models for short-horizon trading decisions
* Practical frameworks used in quantitative trading research
The focus is on methodology and model design, helping readers understand how machine learning techniques interact with market microstructure data.
Whether you are a quantitative researcher, systematic trader, financial engineer, or machine learning practitioner, this book provides a structured introduction to one of the most technically demanding areas of modern finance: extracting information from the order book.
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