Regimes in the Order Flow

Ramzi Jebali

Papers from arXiv.org

Abstract: Financial markets alternate between periods of relative stability and instability, with structural breaks marking the transitions between these regimes. Identifying such breaks in real time is a central requirement for any trading or risk system operating at high frequency. This report studies Bayesian Online Changepoint Detection (BOCPD) and two extensions proposed in the literature, and applies them to the signed order flow of NASDAQ-listed equities.

Date: 2026-09
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