Ordinal synchronization and typical states in high-frequency digital markets

DOI10.1016/J.PHYSA.2022.127331MaRDI QIDQ2139969zbMATH OpenOpenAlexFDO

Authors Mario López Pérez, Ricardo Mansilla Corona

Publication date 20 May 2022

Published in Physica A (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2110.07047

zbMATH Keywords

algorithmic tradingclusteringhigh-frequency tradingnetworksordinal patternssynchronicity

Mathematics Subject Classification ID

Statistical mechanics, structure of matter (82-XX)

Cites work

• A new metric for probability distributions
• A non-parametric independence test using permutation entropy
• Computing algebraic transfer entropy and coupling directions via transcripts
• Contrasting chaotic with stochastic dynamics via ordinal transition networks
• Dissecting financial markets: sectors and states
• Dynamic asset trees and Black Monday
• Multiscale ordinal network analysis of human cardiac dynamics
• ordpy: a Python package for data analysis with permutation entropy and ordinal network methods
• Permutation entropy and its main biomedical and econophysics applications: a review
• Scikit-learn: machine learning in Python
• Transcripts: An algebraic approach to coupled time series

Describes a project that uses

Uses Software

• ordpy
• NumPy
• Scikit

This page was built for publication: Ordinal synchronization and typical states in high-frequency digital markets

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2139969)