An inverse framework uses quantile-normalized orderbook data and machine learning models to predict allocative efficiency in double auctions from bids, asks, and prices without knowing induced values.
Wilcoxon rank-based tests for clustered data with R package clusrank.Journal of Statistical Software, 96 (6):1–26
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An `Inverse' Experimental Framework to Estimate Market Efficiency
An inverse framework uses quantile-normalized orderbook data and machine learning models to predict allocative efficiency in double auctions from bids, asks, and prices without knowing induced values.