34 citations · 55 across the 11 of their papers we have counts for
6 papers · 1 filter
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…
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…