Intraday Order Transitions across Market Capitalizations through Markov Analysis (Sample data and analysis scripts/codes)

Intraday Order Transitions across Market Capitalizations through Markov Analysis (Sample data and analysis scripts/codes)

<p dir="ltr">This deposit provides the analysis code for a Markov-chain study of high-frequency, tick-by-tick order-submission data from NASDAQ100 stocks. The study explores divergent intraday order transition patterns across High (HMC), Medium (MMC), and Low (LMC) market capitalizat...

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Bibliographic Details
Main Author: Salam Rabindrajit Luwang (22524698) (author)
Other Authors: Anish Rai (22527571) (author), Md. Nurujjaman (22525522) (author), Filippo Petroni (22525521) (author)
Published: 2025
Subjects:
Financial economics
Dynamical systems in applications
Financial mathematics
Discrete-time markov chain
Tick data
Maximum likelihood estimation (MLE)
Jensen-Shannon distances
principal component analysis-PCA
stochastic neighbor embedding
hierarchical clustering analysis (HCA)
DBSCAN clustering analysis
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