5 citations · 5 across the 2 of their papers we have counts for
3 papers
Bridging the Gap: Decoding the Intrinsic Nature of Time in Market Data
James B. Glattfelder, Anton Golub
Intrinsic time is an example of an event-based conception of time, used to analyze financial time series. Here, for the first time, we reveal the connection between intrinsic time…
Improving predictability of time series using maximum entropy methods
Gregor Chliamovitch, Alexandre Dupuis, Bastien Chopard +1
We discuss how maximum entropy methods may be applied to the reconstruction of Markov processes underlying empirical time series and compare this approach to usual frequency sampli…
Multi-scale Representation of High Frequency Market Liquidity
Anton Golub, Gregor Chliamovitch, Alexandre Dupuis +1
We introduce an event based framework of directional changes and overshoots to map continuous financial data into the so-called Intrinsic Network - a state based discretisation of…