Trade Execution Flow as the Underlying Source of Market Dynamics
Mikhail Gennadievich Belov, Victor Victorovich Dubov, Vadim Konstantinovich Ivanov, Alexander Yurievich Maslov, Olga Vladimirovna Proshina, Vladislav Gennadievich Malyshkin
在这项工作中,我们通过实验证明,执行流程I = dV/dt是市场动态的基本驱动力。 我们开发了一个数值框架,使用Radon-Nikodym导数来计算采样时刻的执行流。 这种方法的一个显着特点是它能够自动确定可以作为可操作触发的阈值。 该技术还直接从相应的特征概率来确定特征时间尺度。 该方法已在实际市场数据上进行了验证,以支持这些发现。 此外,我们引入了基于Christoffel函数谱的框架,该函数谱在输入属性的任意非退化线性变换下是不变的,并且提供了传统主成分分析(PCA)的替代品,该分析仅限于单数不变。
In this work, we demonstrate experimentally that the execution flow, I = dV/dt, is the fundamental driving force of market dynamics. We develop a numerical framework to calculate execution flow from sampled moments using the Radon-Nikodym derivative. A notable feature of this approach is its ability to automatically determine thresholds that can serve as actionable triggers. The technique also determines the characteristic time scale directly from the corresponding eigenproblem. The methodology ...