2 citations · 3 across the 15 of their papers we have counts for
17 papers
A Finite Bid--Ask Spread from Replenishment Displaced from the Quote
Christopher Angstmann, Derick Diana, Tim Gebbie
We give a unified analytic account of a finite bid--ask spread in a two-field reaction--diffusion order book. The model retains separate bid and ask densities in operational time,…
Event-Time Order-Flow Memory, Operational-Time Impact, and Subordinated Market Observables
Christopher Angstmann, Tim Gebbie
We consider two canonical market-microstructure regularities: the long-memory of trade signs and the square-root law of meta-order impact. The point is not to propose new empirical…
Metaorder modelling and identification from public data
Ezra Goliath, Tim Gebbie
Market-order flow in financial markets exhibits long-range correlations. This is a widely known stylised fact of financial markets. A popular hypothesis for this stylised fact come…
Reflexivity from Hierarchical Causality
Tim Gebbie
Complex systems are often organised into hierarchies whose internal interactions are stronger or faster than interactions across levels. When markets are treated as genuinely multi…
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…
Option prices from operational-time reaction-boundary lattices
Chris Angstmann, Tim Gebbie
We consider the role of a continuum operational time , its mapping to calendar time , and their relation to event time in option-pricing problems. We derive option-pricing eq…
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…
The Ethics of LLM Sandbox and Persona Dynamics
Tim Gebbie, Stewart Gebbie
It is well known that LLM guardrails and trained persona dynamics can produce a reality gap: the distance between the world a LLM is permitted or shaped to describe, and the world…
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…
Metaorder modelling and identification from public data
Ezra Goliath, Tim Gebbie
Market-order flow in financial markets exhibits long-range correlations. This is a widely known stylised fact of financial markets. A popular hypothesis for this stylised fact come…
The bias of IID resampled backtests for rolling-window mean-variance portfolios
Andrew Paskaramoorthy, Terence van Zyl, Tim Gebbie
Backtests on historical data are the basis for practical evaluations of portfolio selection rules, but their reliability is often limited by reliance on a single sample path. This…
Representation Learning for Regime detection in Block Hierarchical Financial Markets
Alexa Orton, Tim Gebbie
We consider financial market regime detection from the perspective of deep representation learning of the causal information geometry underpinning traded asset systems using a hier…
Correlation emergence in two coupled simulated limit order books
Dominic Bauer, Derick Diana, Tim Gebbie
We use random walks to simulate the fluid limit of two coupled diffusive limit order books to model correlation emergence. The model implements the arrival, cancellation and diffus…
Anomalous diffusion and price impact in the fluid-limit of an order book
Derick Diana, Tim Gebbie
We extend a Discrete Time Random Walk (DTRW) numerical scheme to simulate the anomalous diffusion of financial market orders in a simulated order book. Here using random walks with…