Anjali Thawait · 2026 · SSRN Electronic Journal
DOI: 10.2139/ssrn.7539478 · cited by 0 works (OpenAlex) · open-access PDF
Model rezim pasar biasanya mengasumsikan serangkaian latent state yang terbatas. kita memeriksa apakah dinamika buku batas frekuensi tinggi menunjukkan pemisahan rezim yang berbeda atau rezim yang terlihat hasil dari mendiskritisasi kontinu yang mendasarinya, menganalisis data buku batas akhir untuk Euro Stoxx 50 indeks futures selama 987 hari perdagangan bersih dari 2022 hingga 2025 menggunakan jendela agregasi 30, 45 dan 60 detik.
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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