From the 1 of 11 linked papers with an AI index.
11 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…
A Gabor--Epps uncertainty principle for traders
Tim Gebbie
We propose a Gabor--Epps uncertainty principle for practical trading. The key idea is that high-frequency correlation is not observed in clock time alone, but is resolved through m…
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…
A Simple Hierarchical Causality Primer
Tim Gebbie
We provide a brief primer for the idea behind formalising hierarchical causality in the context of complex systems. Here actors are not simply agents. Actors instantiate causation…
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…