Anjali Thawait · 2026 · SSRN Electronic Journal
DOI: 10.2139/ssrn.7539478 · cited by 0 works (OpenAlex) · open-access PDF
Les modèles de régime de marché supposent généralement un ensemble fini d'états latents discrets.Nous examinons si les dynamiques du livre de commande de limite de haute fréquence présentent une séparation de régime distincte ou si les régimes apparents résultent de la discrétion d'un continuum sous-jacent, en analysant les données du livre de commande de limite profonde pour les futures de l'indice EURO STOXX 50 sur 987 jours de négociation propres de 2022 à 2025 en utilisant des fenêtres d'agrégation de 30, 45 et 60 secondes.
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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