Dynamic Coupling in Order Book: Quantum Framework
10 Pages Posted: 5 Jan 2018
Date Written: December 31, 2017
We apply coupled-wave model to describe statistics of imbalance in order book and its impact on price. We find that the model can be related to the observed market data if coupling is dynamic and depends on imbalance in such way that kicks the system out of states with large imbalance. Dynamic coupling has impact on price returns by affecting execution probabilities unless the price settles around the security’s fair value.
Suggested Citation: Suggested Citation