Anjali Thawait · 2026 · SSRN Electronic Journal
DOI: 10.2139/ssrn.7539478 · cited by 0 works (OpenAlex) · open-access PDF
市场模式通常假定一组有限的隐藏状态。我们检查高频限制订单图动态是否显示出不同的政权分离或显而易见的政权,结果是对底层连续性进行分辨,分析了2022年至2025年间987个清洁交易日的Euro STOXX 50指数期货的深度限制订单数据,使用30、45和60秒的汇总窗口。
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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