英文标题：
《Multi-scale Representation of High Frequency Market Liquidity》
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作者：
Anton Golub, Gregor Chliamovitch, Alexandre Dupuis and Bastien Chopard
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最新提交年份：
2014
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英文摘要：
We introduce an event based framework of directional changes and overshoots to map continuous financial data into the so-called Intrinsic Network - a state based discretisation of intrinsically dissected time series. Defining a method for state contraction of Intrinsic Network, we show that it has a consistent hierarchical structure that allows for multi-scale analysis of financial data. We define an information theoretic measurement termed Liquidity that characterises the unlikeliness of price trajectories and argue that the new metric has the ability to detect and predict stress in financial markets. We show empirical examples within the Foreign Exchange market where the new measure not only quantifies liquidity but also acts as an early warning signal.
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中文摘要：
我们引入了一个基于事件的方向变化和超调框架，将连续的金融数据映射到所谓的内在网络中——一种基于状态的内在分解时间序列离散化。定义了一种内在网络的状态收缩方法，我们证明了它具有一致的层次结构，允许对金融数据进行多尺度分析。我们定义了一种称为流动性的信息论度量，它描述了价格轨迹的不可能性，并认为新度量具有检测和预测金融市场压力的能力。我们展示了外汇市场的实证例子，在这些例子中，新指标不仅量化了流动性，还充当了早期预警信号。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Trading and Market Microstructure 交易与市场微观结构
分类描述：Market microstructure, liquidity, exchange and auction design, automated trading, agent-based modeling and market-making
市场微观结构，流动性，交易和拍卖设计，自动化交易，基于代理的建模和做市
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一级分类：Quantitative Finance 数量金融学
二级分类：General Finance 一般财务
分类描述：Development of general quantitative methodologies with applications in finance
通用定量方法的发展及其在金融中的应用
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一级分类：Quantitative Finance 数量金融学
二级分类：Statistical Finance 统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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