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Latent Continuum of Regimes in Limit Order Book Dynamics
91g15computational-financeg-1-3g-3i-2-6mathematical-financestatistical-financetrading-and-market-microstructure
Market-regime models typically assume a finite set of discrete latent states. We examine whether high frequency limit-order-book dynamics exhibit distinct regime separation or apparent regimes result from discretising an underlying continuum, analysing deep limit-order book data for EURO STOXX 50 in
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