Order_Flow_Imbalance_data

This repository contains the data and code for the research project titled "Hybrid VAR-FNN Model for Order Flow Imbalance Prediction in High-Frequency Trading." The study explores a hybrid approach that combines Vector Auto Regression (VAR) and Feedforward Neural Networks (FNN) to predict Order Flow Imbalance (OFI) in high-frequency trading data. The hybrid model improves predictive accuracy by leveraging both linear and non-linear patterns in the data.