3 papers
q-fin.ST2025
The Hidden Constant of Market Rhythms: How Defines Scaling in Intrinsic Time
Thomas Houweling
Directional-change Intrinsic Time analysis has long revealed scaling laws in market microstructure, but the origin of their stability remains elusive. This article presents evidenc…
q-fin.TR2025
A Modern Paradigm for Algorithmic Trading
James B. Glattfelder, Thomas Houweling, Richard B. Olsen
We introduce a novel framework for developing fully-automated trading model algorithms. Unlike the traditional approach, which is grounded in analytical complexity favored by most…
q-fin.TR2024
Calculating Profits and Losses for Algorithmic Trading Strategies: A Short Guide
James B. Glattfelder, Thomas Houweling
We present a series of equations that track the total realized and unrealized profits and losses at any time, incorporating the spread. The resulting formalism is ideally suited to…