Get 20M+ Full-Text Papers For Less Than $1.50/day. Start a 14-Day Trial for You or Your Team.

Learn More →

Multi-scale representation of high frequency market liquidity

Multi-scale representation of high frequency market liquidity We introduce an event based framework mapping financial data onto a state based discretisation of time series. The mapping is intrinsically multi-scale and naturally accommodates itself with tick-by-tick data. Within this framework, we define an information theoretic quantity that characterises the unlikeliness of price trajectories and, akin to a liquidity measure, detects and predicts stress in financial markets. In particular, we show empirical examples within the foreign exchange market where the new measure not only quantifies liquidity but also seems to act as an early warning signal. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Algorithmic Finance IOS Press

Multi-scale representation of high frequency market liquidity

Loading next page...
 
/lp/ios-press/multi-scale-representation-of-high-frequency-market-liquidity-8LH8SETNc9

References

References for this paper are not available at this time. We will be adding them shortly, thank you for your patience.

Publisher
IOS Press
Copyright
Copyright © 2016 IOS Press and the authors. All rights reserved
ISSN
2158-5571
eISSN
2157-6203
DOI
10.3233/AF-160054
Publisher site
See Article on Publisher Site

Abstract

We introduce an event based framework mapping financial data onto a state based discretisation of time series. The mapping is intrinsically multi-scale and naturally accommodates itself with tick-by-tick data. Within this framework, we define an information theoretic quantity that characterises the unlikeliness of price trajectories and, akin to a liquidity measure, detects and predicts stress in financial markets. In particular, we show empirical examples within the foreign exchange market where the new measure not only quantifies liquidity but also seems to act as an early warning signal.

Journal

Algorithmic FinanceIOS Press

Published: Jan 1, 2016

There are no references for this article.