Dynamic Coupling in Order Book: Quantum Framework

10 Pages Posted: 5 Jan 2018  

Jack Sarkissian

Algostox Trading

Date Written: December 31, 2017

Abstract

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

Sarkissian, Jack, Dynamic Coupling in Order Book: Quantum Framework (December 31, 2017). Available at SSRN: https://ssrn.com/abstract=3095073 or http://dx.doi.org/10.2139/ssrn.3095073

Jack Sarkissian (Contact Author)

Algostox Trading ( email )

United States

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