Anjali Thawait · 2026 · SSRN Electronic Journal
DOI: 10.2139/ssrn.7539478 · cited by 0 works (OpenAlex) · open-access PDF
Los modelos de régimen de mercado suelen asumir un conjunto finito de estados latentes discretos. Examinamos si las dinámicas del libro de orden de límites de alta frecuencia muestran separación de régimen distinta o los regímenes aparentes resultan de discretar un continuo subyacente, analizando los datos del libro de orden de límites profundos para los futuros del índice EURO STOXX 50 a través de 987 días de negociación limpia de 2022 a 2025 utilizando ventanas de agregación de 30, 45 y 60 segundos.
Machine translation (Meta M2M100); the English original follows.
Market-regime models typically assume a finite set of discrete latent states. We examine whether high frequency limit-order-book dynamics exhibit distinct regime separation or apparent regimes result from discretising an underlying continuum, analysing deep limit-order book data for EURO STOXX 50 index futures across 987 clean trading days from 2022 to 2025 using 30, 45 and 60-second aggregation windows. Market states are represented by symmetric positive definite covariance matrices and analysed under Log-Euclidean and affine-invariant geometries; the resulting state cloud has an effective di
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Topics: Mathematics, Econometrics, Discretization, Covariance, Statistical physics, Unobservable
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