2 citations · 3 across the 15 of their papers we have counts for
9 papers · 1 filter
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…
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…
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…
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…
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…