From the 1 of 8 linked papers with an AI index.
8 papers
Option prices from operational-time reaction-boundary lattices
Chris Angstmann, Tim Gebbie
The paper derives option‑pricing equations from an operational‑time Markov lattice, separating the operational time scale from calendar time and showing how the resulting generaliz…
Reaction-boundary variance and adjoint-consistent local-volatility projection
Chris Angstmann, Tim Gebbie
We derive an operational-time variance kernel for a latent-order-book reaction boundary and use it to separate three objects usually collapsed in calendar-time volatility models: a…
Revisiting Trade-sign Long-memory and Square-root Law price impact
Chris Angstmann, Tim Gebbie
Starting with a coupled discrete reaction--diffusion formulation for the lit and latent order books with non-uniformly sampled event times and meta-order source terms we show how t…
Correlation emergence and the Epps effect in two coupled limit order books
Chris Angstmann, Tim Gebbie
We give a unified analytic account of correlation emergence and the Epps effect in two coupled limit order books. The Epps effect is the empirical reduction in measured cross-asset…
Non-unique time and market incompleteness
Chris Angstmann, Tim Gebbie
Financial markets are often modelled as if time were unique and continuous across assets and markets. Financial markets are however asynchronous, order flow is event-driven, and wa…
First-Passage Times for the Space-Fractional Spectral Fokker-Planck Equation
Christopher N. Angstmann, Daniel S. Han, Bruce I. Henry +1
We extend the random walk framework to include compounded steps, providing first-passage time (FPT) properties for a new class of superdiffusive processes, which are governed by th…