04.27.22 | Complex Dynamics in the Order Book

Changes in price are determined by excess supply and demand.   Changes in bid-ask spread processes are linked to order flow.   Aggressive orders (large size market orders) immediately change the bid-ask price and depth of market.

Aside from plotting dV/dt, chartist traders possess incomplete information about supply and demand and are generally in the dark regarding the market intelligence underpinning institutional strategies.

“Research shows that integration of big data analytics and domain-specific knowledge improves decision-making in complex auction markets.” [1]


REFERENCE

[1]   Surucu, EA. (2018). Surveillance of Complex Auction Markets: a Market Policy Analytics Approach.