Comment by hammock
3 hours ago
I don’t understand how anyone can say market data is continuous. It’s an aggregate of discrete orders and transactions. It may look continuous if you squint, but it’s not.
(Yes I read the article)
3 hours ago
I don’t understand how anyone can say market data is continuous. It’s an aggregate of discrete orders and transactions. It may look continuous if you squint, but it’s not.
(Yes I read the article)
The article mentioned this at the beginning and end:
"But what kind of data is market data? ... is it continuous or discrete? Market data seems to have features of both. An order book evolves via a series of turns as market participants put on, or take away, resting orders; there is no doubt a discrete action space. And yet, many of the most important parameters of a given order, like its price, have such a high cardinality that they basically appear continuous. ...
One way to explore these complications is to treat your data as if it’s continuous and see how that breaks down. "
"Most of the project was spent grappling with a fundamental problem: market data is neither fully continuous nor fully discrete."
I think it is continuous because it is an emergent property of the market system. There is a video where the guy tried to see if market structure was "real" by modeling it. He had trouble in the beginning but when he added an order book the structures and patterns (Head and Shoulder, Bull Flags, Double Tops) appeared. It's called:
"I made a Market Simulation to see if Patterns are Real" by Krafer
https://www.youtube.com/watch?v=oWheof70O9g