Multi-scale representation of high frequency market liquidity

Article Article scientifique Article Multi-scale representation of high frequency market liquidity eng 2016 author Golub Anton 769726 author Chliamovitch Gregor 644690 author Dupuis Alexandre 100785 author Chopard Bastien 22320 3-19 10.3233/AF-160054 2157-6203 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. Liquidity Information theory Multi-scale Foreign exchange High frequency trading Dewey 025.063 13 Centre universitaire d'informatique 0D3 32 Département d'informatique 18 false 728 Scientific and Parallel Computing Algorithmic Finance 5 1-2 6dc17382-434f-49f2-9a92-b311f823946c Article (Published version) Restricted 2016Golub_multi_scale_repr_high_freq.pdf 843040 application/pdf restrictedAccess Centres et instituts / Centre universitaire d'informatique Faculté des sciences / Département d'informatique

Title	Published in	Access level	OA Policy	Year	Views	Downloads

Multi-scale representation of high frequency market liquidity	Algorithmic Finance			2016	291	2

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Golub, Anton