119 citations · 528 across the 24 of their papers we have counts for
28 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…
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…
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…