Bridging the Gap: Decoding the Intrinsic Nature of Time in Market Data

James Glattfelder and Anton Golub

Papers from arXiv.org

Abstract: Intrinsic time is an example of an event-based conception of time, used to analyze financial time series. Here, for the first time, we reveal the connection between intrinsic time and physical time. In detail, we present an analytic relationship which links the two different time paradigms. Central to this discovery are the emergence of scaling laws. Indeed, a novel empirical scaling law is presented, relating to the variability of what is know as overshoots in the intrinsic time framework. To evaluate the validity of the theoretically derived expressions, three time series are analyzed; in detail, Brownian motion and two tick-by-tick empirical currency market data sets (one crypto and one fiat). Finally, the time series analyzed in physical time can be decomposed into their liquidity and volatility components, both only visible in intrinsic time, further highlighting the utility of this temporal kinship.

Date: 2022-04
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
http://arxiv.org/pdf/2204.02682 Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:2204.02682

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().